Impact of volatility clustering on equity indexed annuities

Published 2016 View Full Article

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Title
Impact of volatility clustering on equity indexed annuities
Authors
Keywords
Variable annuities, Life insurance, Hawkes process, Self-exciting process, Jump process
Journal
INSURANCE MATHEMATICS & ECONOMICS
Volume 71, Issue -, Pages 367-381
Publisher
Elsevier BV
Online
2016-10-27
DOI
10.1016/j.insmatheco.2016.10.009

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