Pricing annuity guarantees under a double regime-switching model

Published 2015 View Full Article

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Title
Pricing annuity guarantees under a double regime-switching model
Authors
Keywords
Equity-indexed annuity, Variable annuity, Regime-switching, Esscher transform, Fast Fourier transform
Journal
INSURANCE MATHEMATICS & ECONOMICS
Volume 62, Issue -, Pages 62-78
Publisher
Elsevier BV
Online
2015-03-13
DOI
10.1016/j.insmatheco.2015.02.005

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