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Valuing variable annuity guarantees with the multivariate Esscher transform · Study

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ArticleValuing variable annuity guarantees with the multivariate Esscher transform

Andrew Cheuk-Yin Ng2011

Article2011

Valuing variable annuity guarantees with the multivariate Esscher transform

Andrew Cheuk-Yin Ng · Johnny Siu‐Hang Li

42 citations·0/0 files stored·Insurance Mathematics and Economics

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Stochastic processes and financial applications Insurance and Financial Risk Management Probability and Risk Models

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References

1995Option pricing by Esscher transforms.2001A Regime-Switching Model of Long-Term Stock Returns 2005Option pricing and Esscher transform under regime switching 2003Investment guarantees : modeling and risk management for equity-linked life insurance 2005Financial valuation of guaranteed minimum withdrawal benefits 2000Pricing and hedging long-term options 2011Variable annuities: A unifying valuation approach 1996No-arbitrage, change of measure and conditional Esscher transforms

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2013Application of Data Clustering and Machine Learning in Variable Annuity Valuation 2015Pricing annuity guarantees under a double regime-switching model 2021Deep hedging of long-term financial derivatives 2013Pricing and Hedging Variable Annuity Guarantees with Multiasset Stochastic Investment Models

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Year2011

Typearticle

Published2011-07-08

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations42

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.insmatheco.2011.06.003

openalex_workW2091012841

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