Valuing variable annuity guarantees with the multivariate Esscher transform
type: Item
instance of: scholarly article
title: Valuing variable annuity guarantees with the multivariate Esscher transform
zbMATH Open document ID: 1228.91044
author: Andrew Cheuk-Yin Ng
author: Johnny Siu-Hang Li
published in: Insurance Mathematics \& Economics
publication date: 2011-12-21T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60K10
zbMATH DE Number: 5991250
zbMATH Keywords: minimum entropy
zbMATH Keywords: incomplete market
zbMATH Keywords: quanto
zbMATH Keywords: regime-switching
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2011.06.003
OpenAlex ID: W2091012841
cites work: Pricing and hedging long-term options
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DOI: 10.1016/J.INSMATHECO.2011.06.003
description: scientific article; zbMATH DE number 5991250