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Valuing variable annuity guarantees with the multivariate Esscher transform

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References

1995Option pricing by Esscher transforms.651 cited
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2003Investment guarantees : modeling and risk management for equity-linked life insurance269 cited
2005Financial valuation of guaranteed minimum withdrawal benefits252 cited
2000Pricing and hedging long-term options243 cited
2011Variable annuities: A unifying valuation approach176 cited
1996No-arbitrage, change of measure and conditional Esscher transforms174 cited
2005Fair valuation of participating policies with surrender options and regime switching100 cited
2005Generalizing the Black–Scholes formula to multivariate contingent claims72 cited
2001[Geometric Lévy Process & MEMM] Pricing Model and Related Estimation Problems49 cited

Cited by

2013Application of Data Clustering and Machine Learning in Variable Annuity Valuation99 cited
2015Pricing annuity guarantees under a double regime-switching model42 cited
2021Deep hedging of long-term financial derivatives34 cited
2013Pricing and Hedging Variable Annuity Guarantees with Multiasset Stochastic Investment Models

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27 cited