Title:

Pricing Guaranteed Annuity Options in a Linear-Rational Wishart Mortality Model

Author:

José da Fonseca (U Paris I, Auckland U Technology)

Journal:

Insurance: Mathematics and Economics

Year:

2024

Volume:

115

Pages:

122-131

JEL codes:

G13 - Contingent Pricing; Futures Pricing
G22 - Insurance; Insurance Companies

DOI:

10.1016/j.insmatheco.2024.01.004