标题:Valuing equity-linked death benefits in general exponential Levy models
作者:Zhang, Zhimin; Yong, Yaodi; Yu, Wenguang
作者机构:[Zhang, Zhimin] Chongqing Univ, Coll Math & Stat, Chongqing 401331, Peoples R China.; [Yong, Yaodi] Univ Hong Kong, Dept Stat & Actuarial Sci, Pokfu 更多
通讯作者:Zhang, ZM
通讯作者地址:[Zhang, ZM]Chongqing Univ, Coll Math & Stat, Chongqing 401331, Peoples R China.
来源:JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
出版年:2020
卷:365
DOI:10.1016/j.cam.2019.112377
关键词:Equity-linked death benefits; PROJ; GMDB; Valuation
摘要:In this paper, a projection method combined with Fast Fourier Transform (FFT) is applied to value equity-linked death benefit products. Specifically, we focus on valuation of the products with Guaranteed Minimum Death Benefit (GMDB). The benefit amount is linked to the performance of the underlying asset, which is modeled by an exponential Levy process. To implement the proposed method, B-spline functions as well as some auxiliary functions are introduced for series expansion, while FFT is adopted to calculate the projection coefficients. Valuation formulae are obtained for a class of payoff functions, and error analysis is also presented. Various numerical valuation results computed by B-spline functions with different orders are presented to demonstrate the method's efficiency and accuracy. (C) 2019 Elsevier B.V. All rights reserved.
收录类别:SCIE;SSCI
WOS核心被引频次:1
资源类型:期刊论文
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