Fair valuation of participating policies with surrender options and regime switching

By Tak Kuen Siu. 2005

113 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/cf0cde1427515bccf7c581c56743ace5625792f1

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. Hailiang Yang
2. X. Lin
3. Min Dai
4. Yue Kuen Kwok
5. Pricing Annuity
6. Guarantees Under
7. Jianping Zong
8. Ken Seng Tan

In Economics and Econometrics

1. Min Dai
2. Hailiang Yang
3. Yue Kuen Kwok
4. X. Lin
5. Pricing Annuity
6. Guarantees Under
7. Jianping Zong
8. Ken Seng Tan

In Finance

1. X. Lin
2. Min Dai
3. Hailiang Yang
4. Yue Kuen Kwok
5. Pricing Annuity
6. Guarantees Under
7. Jianping Zong
8. Ken Seng Tan

Citations in the corpus

• GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES (2008, methodology): “Chu and Kwok (2004) and Siu (2005) analyze the withdrawal and surrender options in various equity-linked insurance products. Milevsky and Salisbury (2006) develop the pricing model of variable annuities with GMWB under both static and dynamic withdrawal policies.”
• Pricing Annuity Guarantees Under a Regime-Switching Model (2009, methodology): “The market described by the model is incomplete, in general; see Naik (1993), Guo (2001), Buffington and Elliott (2002), and Elliott, Chau, and Siu (2005).”