Efficient willow tree method for variable annuities valuation and risk management☆
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DOI: 10.1016/j.irfa.2019.101429
Abstract: Abstract Variable annuities (VAs) with various guarantees are popular retirement products in the past decades. However, due to the sophistication of the embedded guarantees, most existing methods only focus on the one of embedded guarantees… read more here.
Keywords: risk; tree method; variable annuities; efficient willow ... See more keywords