Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit under stochastic interest rate

出版年份 2017 全文链接

标题

作者

关键词

Variable annuity, Living and death benefits, Stochastic interest rate, Optimal stochastic control, Guaranteed Minimum Withdrawal Benefit, Gauss–Hermite quadrature

出版物

INSURANCE MATHEMATICS & ECONOMICS

Volume 76, Issue -, Pages 104-117

出版商

Elsevier BV

发表日期

2017-07-26

DOI

10.1016/j.insmatheco.2017.06.008

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