Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
Gudkov, Nikolay, Ignatieva, Katja, Ziveyi, JonathanLanguage:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697688.2018.1490806
Date:
September, 2018
File:
PDF, 1.05 MB
english, 2018