Valuing the guaranteed minimum death benefit clause with partial withdrawals

Applied Mathematical Finance

Volumn 16, Issue 6, 2009, Pages 451-496

  Belanger, A C ^a   Forsyth, P A ^a   Labahn, G ^a  

^a UNIVERSITY OF WATERLOO   (Canada)

Author keywords

Fully implicit penalty method; Guaranteed minimum death benefit (GMDB); Impulse control; Variable annuities; Viscosity solution

Indexed keywords

EID: 70449578500     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13504860903075464     Document Type: Article

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