Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
Author:
Affiliation:
1. Département de mathématiques, Université de Sherbooke, Sherbrooke, Canada
2. Département de mathématiques, Université du Québec à Montréal, Montréal, Canada
3. School of Business, Stevens Institute of Technology, Hoboken, NJ 07030, USA
Funder
Natural Science and Engineering Research Council of Canada
Fonds de recherche du Québec – Nature et Technologies
National Natural Science Foundation of China
National Science Foundation
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2023.2215278
Reference78 articles.
1. Maximum likelihood estimation of stochastic volatility models
2. Alonso-García, J., Sherris, M., Thirurajah, S. and Ziveyi, J., Taxation and policyholder behavior: The case of guaranteed minimum accumulation benefits. Working Paper, 2022. Available at SSRN 3629101.
3. Variable annuities: A unifying valuation approach
4. Optimal stopping problems with discontinous reward: Regularity of the value function and viscosity solutions
5. A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
Cited by 4 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. Valuation of guaranteed lifelong withdrawal benefit with the long-term care option;Insurance: Mathematics and Economics;2024-11
2. Efficient valuation of guaranteed minimum accumulation benefits in regime switching jump diffusion models with lapse risk;Applied Mathematics and Computation;2024-10
3. Optimal Static Hedging of Variable Annuities with Volatility-Dependent Fees;Risks;2023-12-30
4. Understanding the Correlation Risk Premium;SSRN Electronic Journal;2023
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3