Mortality modelling with regime-switching for the valuation of a guaranteed annuity option
type: Item
instance of: scholarly article
title: Mortality modelling with regime-switching for the valuation of a guaranteed annuity option
zbMATH Open document ID: 1348.91145
author: Huan Gao
author: Xiaoming Liu
author: Anton Tenyakov
author: Rogemar Mamon
published in: Insurance Mathematics \& Economics
publication date: 2015-08-20T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6474315
zbMATH Keywords: Gompertz model
zbMATH Keywords: Markov chain
zbMATH Keywords: change of probability measure
zbMATH Keywords: filtering
zbMATH Keywords: exponential matrix
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2015.03.018
OpenAlex ID: W2054127758
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DOI: 10.1016/J.INSMATHECO.2015.03.018
description: scientific article; zbMATH DE number 6474315