Variable annuity guarantees pricing under the Variance-Gamma framework
The purpose of this study is to investigate the pricing of variable annuity embedded derivatives in a Lévy process setting. This is one of the practical issues that continues to face life insurers in the management of derivatives embedded within these products. It also addresses how such providers c...
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| Language: | en |
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University of Pretoria
2015
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| Online Access: | http://hdl.handle.net/2263/45952 Ngugi, AM 2014, Variable annuity guarantees pricing under the Variance-Gamma framework, MSc Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/45952> |