First passage problems of refracted jump diffusion processes and their applications in valuing equity-linked death benefits-Reference-Cited by-同舟云学术

First passage problems of refracted jump diffusion processes and their applications in valuing equity-linked death benefits

Published:2021 Issue:0 Volume:0 Page:0
ISSN:1553-166X
Container-title:Journal of Industrial & Management Optimization
language:
Short-container-title:JIMO

Author:

Ai Meiqiao,Zhang Zhimin,Yu Wenguang

Publisher

American Institute of Mathematical Sciences (AIMS)

Subject

Applied Mathematics,Control and Optimization,Strategy and Management,Business and International Management,Applied Mathematics,Control and Optimization,Strategy and Management,Business and International Management

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4. C. Bernard, M. Hardy, A. Mackay.State-dependent fees for variable annuity guarantees, Astin Bulletin, 44 (2014), 559-585.

5. R. F. Botta, C. M. Harris.Approximation with generalized hyperexponential distributions: Weak convergence results, Queueing Systems, 1 (1986), 169-190.

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