Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
Author:
Publisher
Elsevier BV
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Reference19 articles.
1. Pricing guaranteed life insurance participating policies with annual premiums and surrender option;Bacinello;N. Am. Actuar. J.,2013
2. A universal pricing framework for guaranteed minimum benefits in variable annuities;Bauer;ASTIN Bull.,2008
3. Optimal surrender policy for variable annuity guaratees;Bernard;Insurance Math. Econom.,2014
4. The pricing of corporate liabilities;Black;J. Polit. Econ.,1973
5. Alternative characterizations of American put options;Carr;Math. Finance,1992
Cited by 27 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 minimum maturity benefits under mean reversion and jump models with surrender risk;Journal of Computational and Applied Mathematics;2024-04
2. Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method;Journal of Mathematical Analysis and Applications;2024-02
3. Taxation and policyholder behavior: the case of guaranteed minimum accumulation benefits;ASTIN Bulletin;2024-01
4. Variational inequality arising from variable annuity with mean reversion environment;Journal of Inequalities and Applications;2023-08-03
5. Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees;Scandinavian Actuarial Journal;2023-07-31
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