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Quantitative Finance Volume 19, 2019 - Issue 3

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Research Papers

Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method

Nikolay GudkovSchool of Risk and Actuarial Studies, Business School, UNSW Australia, Sydney, NSW 2052, AustraliaCorrespondence[email protected]

Katja IgnatievaSchool of Risk and Actuarial Studies, Business School, UNSW Australia, Sydney, NSW 2052, Australia

http://orcid.org/0000-0001-7472-5475

Jonathan ZiveyiSchool of Risk and Actuarial Studies, Business School, UNSW Australia, Sydney, NSW 2052, Australia

http://orcid.org/0000-0001-9029-8039

Pages 501-518 | Received 04 Jun 2017, Accepted 01 Jun 2018, Published online: 03 Sep 2018

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https://doi.org/10.1080/14697688.2018.1490806
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