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Efficient valuation of variable annuities under regime-switching jump diffusion models with surrender risk and mortality risk

Wei Zhong, Zhimin Zhang 0009, Zhenyu Cui. Efficient valuation of variable annuities under regime-switching jump diffusion models with surrender risk and mortality risk. Commun. Nonlinear Sci. Numer. Simul., 138:108246, 2024. [doi]

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