Valuing equity-linked death benefits in jump diffusion models
type: Item
instance of: scholarly article
title: Valuing equity-linked death benefits in jump diffusion models
zbMATH Open document ID: 1290.91162
author: Hailiang Yang
author: H. U. Gerber
author: E. S. W. Shiu
published in: Insurance Mathematics \& Economics
publication date: 2014-06-23T00:00:00Z
full work available at URL: http://hdl.handle.net/10722/198096
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 60G51
zbMATH DE Number: 6306905
zbMATH Keywords: equity-linked death benefits
zbMATH Keywords: variable annuities
zbMATH Keywords: jump diffusion
zbMATH Keywords: exponential stopping
zbMATH Keywords: barrier options
MaRDI profile type: Publication
OpenAlex ID: W2074007783
cites work: A Direct Approach to the Discounted Penalty Function
cites work: Russian and American put options under exponential phase-type Lévy models.
cites work: Optimal Dividends in the Dual Model with Diffusion
cites work: Q4888858
cites work: Fluctuation theory for Lévy processes. Ecole d'Eté de probabilités de Saint-Flour XXXV -- 2005.
cites work: Fitting combinations of exponentials to probability distributions
cites work: Stochastic Life Annuities
cites work: The probability and severity of ruin for combinations of exponential claim amount distributions and their translations
cites work: Rational ruin problems - a note for the teacher
cites work: Risk theory for the compound Poisson process that is perturbed by diffusion
cites work: Q5637709
cites work: Games of Economic Survival with Discrete- and Continuous-Income Processes
cites work: On the Time Value of Ruin
cites work: The Time Value of Ruin in a Sparre Andersen Model
cites work: Maximizing Dividends without Bankruptcy
cites work: Valuing equity-linked death benefits and other contingent options: a discounted density approach
cites work: “Stochastic Annuities,” Daniel Dufresne, January 2007
cites work: Pricing maturity guarantee with dynamic withdrawal benefit
cites work: Introductory lectures on fluctuations of Lévy processes with applications.
cites work: Option pricing when underlying stock returns are discontinuous
cites work: Q4431586
DOI: 10.1016/J.INSMATHECO.2013.08.010
Recommended article: VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK
Recommended article: Valuing equity-linked death benefits in general exponential Lévy models
Recommended article: Valuing equity-linked death benefits and other contingent options: a discounted density approach
Recommended article: Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model
Recommended article: Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model
Recommended article: Valuing equity-linked death benefits on multiple life with time until death following a \(K_n\) distribution
Recommended article: First passage problems of refracted jump diffusion processes and their applications in valuing equity-linked death benefits
Recommended article: Valuing equity-linked death benefits with a threshold expense strategy
Recommended article: Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality
Recommended article: Valuing inflation-linked death benefits under a stochastic volatility framework
description: scientific article; zbMATH DE number 6306905