170 citations · 224 across the 6 of their papers we have counts for
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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…
q-fin.MF2018
Multiple curve Lévy forward price model allowing for negative interest rates
Ernst Eberlein, Christoph Gerhart, Zorana Grbac
In this paper we develop a framework for discretely compounding interest rates which is based on the forward price process approach. This approach has a number of advantages, in pa…