Geometric stopping of a random walk and its applications to valuing equity-linked death benefits

DOI10.1016/j.insmatheco.2015.06.006zbMath1348.91269OpenAlexW748272486MaRDI QIDQ495497

Elias S. W. Shiu, Hailiang Yang, Hans U. Gerber

Publication date: 14 September 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/231322

zbMATH Keywords

random walkEsscher transformbinomial and trinomial tree modelsequity-linked death benefitsgeometric stopping

Mathematics Subject Classification ID

Related Items (9)

Valuing guaranteed equity-linked contracts by Laguerre series expansion ⋮ Randomization and the valuation of guaranteed minimum death benefits ⋮ Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees ⋮ Equity-linked guaranteed minimum death benefits with dollar cost averaging ⋮ Discrete sums of geometric Brownian motions, annuities and Asian options ⋮ Pricing some life-contingent lookback options under regime-switching Lévy models ⋮ Valuation of cliquet-style guarantees with death benefits ⋮ Valuing equity-linked death benefits in general exponential Lévy models ⋮ Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model

Cites Work

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• Stochastic Finance
• A Combinatorial Lemma and Its Application to Probability Theory
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• Stochastic Life Annuities
• “Stochastic Annuities,” Daniel Dufresne, January 2007
• Fitting combinations of exponentials to probability distributions
• Option pricing: A simplified approach
• Spitzer's Formula: A Short Proof
• Valuing Equity-Indexed Annuities

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