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Valuing guaranteed equity-linked contracts by Laguerre series expansion
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References

  • 1976The pricing of equity-linked life insurance policies with an asset value guarantee509 cited
  • 1860On the Law of Mortality and the Construction of Annuity Tables465 cited
  • 2008A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities309 cited
  • 1995Stationary distributions for fluid flow models with or without brownian noise206 cited
  • 2001The Titanic Option: Valuation of the Guaranteed Minimum Death Benefit in Variable Annuities and Mutual Funds193 cited
  • 2011Variable annuities: A unifying valuation approach176 cited
  • 2012Valuing equity-linked death benefits and other contingent options: A discounted density approach57 cited
  • 2013Valuing equity-linked death benefits in jump diffusion models54 cited
  • 2015VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK41 cited
  • 2016Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits38 cited
  • 2007Stochastic Life Annuities36 cited
  • 2008Analytic Solution for Return of Premium and Rollup Guaranteed Minimum Death Benefit Options Under Some Simple Mortality Laws32 cited
  • 2016Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality16 cited

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  • 2021Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging

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25 cited