Pricing guaranteed annuity options in a linear-rational Wishart mortality model (Q6199669): Difference between revisions
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Revision as of 09:54, 30 July 2024
scientific article; zbMATH DE number 7822352
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing guaranteed annuity options in a linear-rational Wishart mortality model |
scientific article; zbMATH DE number 7822352 |
Statements
Pricing guaranteed annuity options in a linear-rational Wishart mortality model (English)
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21 March 2024
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The paper provides a new model, the linear-rational Wishart model, aimed at depicting the joint trend of mortality and interest rate risks. After describing the model settings, the linear-rational Wishart model is explained in depth. Closed-form solutions for pricing derivatives are illustrated, so the relevance to the application of the model is effectively highlighted. Finally, numerical examples are provided, where a guaranteed annuity option is priced by means of the scheme proposed throughout the paper.
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mortality risk
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interest rate risk
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guaranteed annuity option
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linear-rational Wishart model
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dependence
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