Enhancing valuation of variable annuities in Lévy models with stochastic interest rate

Ludovic Goudenege, Andrea Molent, Xiao Wei and Antonino Zanette
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Ludovic Goudenege: Centrale Supelec
Andrea Molent: Università degli Studi di Udine - University of Udine [Italie]
Xiao Wei: Central University of Finance and Economics [Beijing]
Antonino Zanette: Università degli Studi di Udine - University of Udine [Italie]

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Date: 2024-09-12
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Published in Scandinavian Actuarial Journal, 2024, pp.1-23. ⟨10.1080/03461238.2024.2402816⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04826897

DOI: 10.1080/03461238.2024.2402816

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