Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model
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Publication:5742647
DOI10.1080/10920277.2013.826126zbMath1412.91058OpenAlexW1968141636MaRDI QIDQ5742647
Xiao Wei, Marcellino Gaudenzi, Antonino Zanette
Publication date: 15 May 2019
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://hal.inria.fr/hal-00721963/file/RR-8034.pdf
Numerical methods (including Monte Carlo methods) (91G60) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60)
Related Items (4)
Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method ⋮ Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes ⋮ Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk ⋮ American options and stochastic interest rates
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