Valuation of the Reset Options Embedded in Some Equity-Linked Insurance Products
Author:
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Reference47 articles.
1. Numerical Valuation of High Dimensional Multivariate American Securities
2. Accelerating Monte Carlo: quasirandom sequences and variance reduction
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1. Real-Time Valuation of Large Variable Annuity Portfolios: A Green Mesh Approach;North American Actuarial Journal;2020-01-30
2. INTEGRAL EQUATION FORMULATION FOR SHOUT OPTIONS;The ANZIAM Journal;2018-07
3. Moment matching machine learning methods for risk management of large variable annuity portfolios;Journal of Economic Dynamics and Control;2018-02
4. Valuation on an Outside-Reset Option with Multiple Resettable Levels and Dates;Complexity;2018
5. Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes;North American Actuarial Journal;2017-07-03
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