Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees-Reference-Cited by-同舟云学术

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Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees

Published:2023-07-31 Issue: Volume: Page:1-27
ISSN:0346-1238
Container-title:Scandinavian Actuarial Journal
language:en
Short-container-title:Scandinavian Actuarial Journal

Author:

Ai Meiqiao¹,Wang Yunyun²,Zhang Zhimin³,Zhu Dan²

Affiliation:

1. College of Mathematics and Statistics, Chongqing Technology and Business University, Chongqing, People's Republic of China

2. Department of Econometrics and Business Statistics, Monash University, Caulfield East, Australia

3. College of Mathematics and Statistics, Chongqing University, Chongqing, People's Republic of China

Funder

National Natural Science Foundation of China

Publisher

Informa UK Limited

Subject

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

Link

https://www.tandfonline.com/doi/pdf/10.1080/03461238.2023.2241193

Reference48 articles.

1. Pricing some life-contingent lookback options under regime-switching Lévy models

2. Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models

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

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