Guaranteed minimum surrender benefits in variable annuities: the impact of regulator-imposed guarantees-Reference-Cited by-同舟云学术

Guaranteed minimum surrender benefits in variable annuities: the impact of regulator-imposed guarantees

Published:2017-06-21 Issue:2 Volume:7 Page:353-377
ISSN:2190-9733
Container-title:European Actuarial Journal
language:en
Short-container-title:Eur. Actuar. J.

Author:

Kling Alexander,Ruez Frederik^ORCID,Ruß Jochen^ORCID

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

http://link.springer.com/article/10.1007/s13385-017-0156-0/fulltext.html

Reference16 articles.

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2. Azimzadeh P, Forsyth PA, Vetzal KR (2014) Hedging costs for variable annuities under regime-switching. In: Mamon R, Elliot R (eds) Hidden markov models in finance, vol II. Springer, New York, pp 503–528

3. Bacinello A, Millossovich P, Olivieri A, Pitacco E (2011) Variable annuities: a unifying valuation approach. Insur Math Econ 48:285–297

4. Bauer D, Kling A, Russ J (2008) A universal pricing framework for guaranteed minimum benefits in variable annuities. Astin Bull 38(02):621–651

5. Black F, Scholes M (1973) The pricing of options and corporate liabilities. J Polit Econ 81(3):637–654

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