Variable annuities in a Lévy-based hybrid model with surrender risk-Reference-Cited by-同舟云学术

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Variable annuities in a Lévy-based hybrid model with surrender risk

Published:2019-11-27 Issue:5 Volume:20 Page:867-886
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Ballotta Laura¹^ORCID,Eberlein Ernst²³⁴^ORCID,Schmidt Thorsten²³⁴^ORCID,Zeineddine Raghid⁴

Affiliation:

1. Faculty of Finance, Cass Business School, City, University of London, London, UK

2. Freiburg Institute for Advanced Studies (FRIAS), Freiburg im Breisgau, Germany

3. Department of Mathematical Stochastics, University of Freiburg, Freiburg im Breisgau, Germany

4. University of Strasbourg Institute for Advanced Study (USIAS), Strasbourg, France

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2019.1687929

Reference38 articles.

1. Enlargement of Filtration with Finance in View

2. Interest Rate Risk Management and Valuation of the Surrender Option in Life Insurance Policies

3. Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method

4. The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours

5. Variable annuities: A unifying valuation approach

Cited by 24 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Optimal investment with insurable background risk and nonlinear portfolio allocation frictions;Applied Mathematics and Computation;2025-01

2. Efficient valuation of variable annuities under regime-switching jump diffusion models with surrender risk and mortality risk;Communications in Nonlinear Science and Numerical Simulation;2024-11

3. Efficient valuation of guaranteed minimum accumulation benefits in regime switching jump diffusion models with lapse risk;Applied Mathematics and Computation;2024-10

4. Guaranteed minimum withdrawal benefits with high-water mark fee structure;PLOS ONE;2024-05-21

5. Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk;Journal of Computational and Applied Mathematics;2024-04

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