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Valuing guaranteed equity-linked contracts by Laguerre series expansion · Study

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ArticleValuing guaranteed equity-linked contracts by Laguerre series expansion

Zhimin Zhang2019

OA

Articlebronze2019

Valuing guaranteed equity-linked contracts by Laguerre series expansion

Zhimin Zhang · Yaodi Yong

28 citations·0/0 files stored·Journal of Computational and Applied Mathematics

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Stochastic processes and financial applications Insurance, Mortality, Demography, Risk Management Probability and Risk Models

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References

1976The pricing of equity-linked life insurance policies with an asset value guarantee 1860On the Law of Mortality and the Construction of Annuity Tables 2008A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities 1995Stationary distributions for fluid flow models with or without brownian noise 2001The Titanic Option: Valuation of the Guaranteed Minimum Death Benefit in Variable Annuities and Mutual Funds 2011Variable annuities: A unifying valuation approach 2012Valuing equity-linked death benefits and other contingent options: A discounted density approach 2013Valuing equity-linked death benefits in jump diffusion models

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Year2019

Typearticle

Published2019-03-12

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations28

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.cam.2019.02.032

openalex_workW2922201477

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