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Guaranteed Benefits in Incomplete Markets and Risk Analysis
Guaranteed Benefits in Incomplete Markets and Risk Analysis This paper presents a methodology of pricing the guaranteed minimum death benefit of a variable annuity in a market model with jumps.- Authors: George N Argesanu
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models