Analyzing the interest rate risk of equity-indexed annuities via scenario matrices (Q6152703): Difference between revisions

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scientific article; zbMATH DE number 7804017

Language	Label	Description	Also known as
English	Analyzing the interest rate risk of equity-indexed annuities via scenario matrices	scientific article; zbMATH DE number 7804017

Statements

scholarly article

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Analyzing the interest rate risk of equity-indexed annuities via scenario matrices (English)

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Sascha Günther

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Insurance Mathematics \& Economics

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publication date

13 February 2024

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zbMATH Keywords

equity-indexed annuities

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cliquet-style guarantees

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Vašíček model

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stochastic interest rates

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.insmatheco.2023.10.003

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Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method

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Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed

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Risk measure and fair valuation of an investment guarantee in life insurance

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Pricing and Hedging of Cliquet Options and Locally Capped Contracts

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Market value of life insurance contracts under stochastic interest rates and default risk

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OPTIMAL ASSET ALLOCATION IN LIFE INSURANCE: THE IMPACT OF REGULATION

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Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps

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Randomization and the valuation of guaranteed minimum death benefits

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Pricing variable annuity guarantees in a local volatility framework

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Pricing annuity guarantees under a double regime-switching model

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Risk analysis and valuation of life insurance contracts: combining actuarial and financial approaches

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Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies

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Cliquet-style return guarantees in a regime switching Lévy model

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Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios

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Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality

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Fair valuation of insurance contracts under Lévy process specifications

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Pricing of Ratchet equity-indexed annuities under stochastic interest rates

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Efficient Option Pricing by Frame Duality with the Fast Fourier Transform

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Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation

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Applications of the central limit theorem for pricing cliquet-style options

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A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans

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Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates

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AN IMPROVED MARKOV CHAIN APPROXIMATION METHODOLOGY: DERIVATIVES PRICING AND MODEL CALIBRATION

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Guaranteed Investment Contracts: Distributed and Undistributed Excess Return

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Pricing rate of return guarantees in a Heath-Jarrow-Morton framework

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Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment

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Identifiers

Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.INSMATHECO.2023.10.003

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Sitelinks

Mathematics(1 entry)

mardi Publication:6152703

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