{"title":"Guaranteed Minimum Maturity Benefits in a Self-Exciting Stochastic Mortality Model: Pricing, Estimation and Calibration","authors":"David Baños, Å. H. Sande, Carlo Sgarra","doi":"10.1080/10920277.2023.2254836","DOIUrl":null,"url":null,"abstract":"The guaranteed minimum maturity benefit (GMMB) is quite a popular feature embedded in several unit-linked policies offered by insurance companies. The value of this benefit depends on several proce...","PeriodicalId":46812,"journal":{"name":"North American Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":1.4000,"publicationDate":"2023-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"North American Actuarial Journal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1080/10920277.2023.2254836","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
The guaranteed minimum maturity benefit (GMMB) is quite a popular feature embedded in several unit-linked policies offered by insurance companies. The value of this benefit depends on several proce...
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