Pricing Annuity Guarantees Under a Regime-Switching Model

By Pricing Annuity, Guarantees Under, X. Lin, Ken Seng Tan, Hailiang Yang. 2009

76 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a6526053c91150eb2bfd978a7c251f7a96b99c10

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. X. Lin
2. Guojun Gan

In Economics and Econometrics

1. X. Lin
2. Guojun Gan

In Finance

1. X. Lin
2. Guojun Gan

Citations in the corpus

• Valuation of large variable annuity portfolios under nested simulation: A functional data approach (2015, methodology): “Lin et al. (2009) used Esscher transform to determine an equivalent martingale measure for the fair valuation of a VA contract under a regime-switching model in the incompletemarket setting.”
• Mortality Regimes and Pricing (2011, unknown): “…Draviam 2007), credit risk (Siu et al. 2008), claim counts (Lu and Garrido 2006), equity prices in response to information about changes in credit ratings (Milidonis and Wang 2007), and pricing investment guarantees (Lin et al. 2009; Boudreault and Panneton 2009), among other topics of interest.”