Valuation of guaranteed annuity conversion options.
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Publication:1413340
DOI10.1016/S0167-6687(03)00146-XzbMath1071.91019OpenAlexW2134434414MaRDI QIDQ1413340
Laura Ballotta, Steven Haberman
Publication date: 16 November 2003
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-6687(03)00146-x
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Cites Work
- Mortality derivatives and the option to annuitise.
- Classes of interest rate models under the HJM framework
- Pricing and hedging guaranteed annuity options via static option replication.
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Guaranteed Annuity Options
- Changes of numéraire, changes of probability measure and option pricing
- Delta, gamma and bucket hedging of interest rate derivatives
- An equilibrium characterization of the term structure
