Modeling investment guarantees in Japan: A risk-neutral GARCH approach
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- Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming, 2015. "Pricing annuity guarantees under a double regime-switching model," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 62-78.
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KeywordsEsscher transform Investment guarantees Variable annuities;
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