Enhancing valuation of variable annuities in Lévy models with stochastic interest rate-Reference-Cited by-同舟云学术

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Enhancing valuation of variable annuities in Lévy models with stochastic interest rate

Published:2024-09-12 Issue: Volume: Page:1-23
ISSN:0346-1238
Container-title:Scandinavian Actuarial Journal
language:en
Short-container-title:Scandinavian Actuarial Journal

Author:

Goudenege Ludovic¹,Molent Andrea²,Wei Xiao³,Zanette Antonino⁴

Affiliation:

1. Féderation de Mathématiques de CentraleSupélec – CNRS FR3487, Gif-sur-Yvette, France

2. Dipartimento di Scienze Economiche e Statistiche, Università degli Studi di Udine, Udine, Italy

3. China Institute for Actuarial Science & School of Insurance, Central University of Finance and Economics, Beijing, China

4. Dipartimento di Scienze Economiche e Statistiche, Università degli Studi di Udine, Udine, Italy

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/03461238.2024.2402816

Reference35 articles.

1. Efficient Pricing of Ratchet Equity-Indexed Annuities in a Variance-Gamma Economy

2. Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates

3. Boyarchenko S. & Levendorskii S. (2007). American options in Lévy models with stochastic interest rates. Available at SSRN 1015409.

4. NUMERICAL STABILITY OF A HYBRID METHOD FOR PRICING OPTIONS

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