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Pricing GLWB in the Extended CIR Framework

  • Speaker: Guangyao Xie (SUSTech)

  • Time: Mar 20, 2021, 10:00-11:00

  • Location: Lecture Room 415, Block 3, Hui Yuan

Abstract: The CIR model leads to specific formulas for bond prices that are well suited for empirical testing. We introduce the extended CIR framework into GLWB (variable annuity) pricing and show the numeric results.

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