2 papers
q-fin.PR2024
On the valuation of life insurance policies for dependent coupled lives
Kira Henshaw, Cedric H. A. Koffi, Olivier Menoukeu Pamen +1
In this paper, we investigate a complex variation of the standard joint life annuity policy by introducing three distinct contingent benefits for the surviving member(s) of a coupl…
q-fin.MF2019
Variable annuities in a Lévy-based hybrid model with surrender risk
Laura Ballotta, Ernst Eberlein, Thorsten Schmidt +1
This paper proposes a market consistent valuation framework for variable annuities with guaranteed minimum accumulation benefit, death benefit and surrender benefit features. The s…