Cliquet-style return guarantees in a regime switching Levy model

Erstveröffentlichung
2017
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Wissenschaftlicher Artikel


Authors
Hieber, Peter
Faculties
Fakultät für Mathematik und Wirtschaftswissenschaften
Institutions
Institut für Versicherungswissenschaften
Published in
Insurance: Mathematics and Economics ; 72 (2017). - S. 138-147. - ISSN 0167-6687. - eISSN 1873-5959
Link to publication
https://dx.doi.org/10.1016/j.insmatheco.2016.11.009
Keywords
Insurance contracts; Cliquet-style guarantee; Ratchet-type guarantee; Annual guarantee; Regime switching; Levy model; Fourier pricing; life-insurance contracts; stochastic interest-rates; pricing barrier options; asset value guarantee; fair valuation; annuity guarantees; policies; framework; 1st-passage; strategies
Dewey Decimal Group
DDC 330 / Economics
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