Pricing a guaranteed annuity option under correlated and regime-switching risk factors
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Publication:903675
DOI10.1007/S13385-015-0118-3zbMath1329.91062OpenAlexW1626940079MaRDI QIDQ903675
Rogemar S. Mamon, Huan Gao, Xiaoming Liu
Publication date: 15 January 2016
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13385-015-0118-3
Related Items (8)
Bond pricing formulas for Markov-modulated affine term structure models ⋮ Valuing guaranteed minimum accumulation benefits by a change of numéraire approach ⋮ Pricing pension buy-outs under stochastic interest and mortality rates ⋮ An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks ⋮ Risk measurement of a guaranteed annuity option under a stochastic modelling framework ⋮ Annuity contract valuation under dependent risks ⋮ Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing ⋮ The Valuation of a Guaranteed Minimum Maturity Benefit under a Regime-Switching Framework
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