Pricing bounds and bang-bang analysis of the Polaris variable annuities
Author:
Affiliation:
1. Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, ON, Canada
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2019.1635709
Reference44 articles.
1. Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
2. The Existence of Optimal Bang-Bang Controls for GMxB Contracts
3. Numerical Methods for the Pricing of Swing Options: A Stochastic Control Approach
4. Policyholder Exercise Behavior in Life Insurance: The State of Affairs
5. A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
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