The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case (Q2507952)
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scientific article; zbMATH DE number 5060811
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| English | The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case |
scientific article; zbMATH DE number 5060811 |
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The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case (English)
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5 October 2006
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The aim of this work is to extend the valuation model for guaranteed annuity options proposed by the authors in order to allow for stochastic uncertainty in mortality trends. The behavior of this contract with respect to changes in market conditions and mortality risk has been analyzed with numerical examples and the sensitivity analysis presented.
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fair value
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incomplete markets
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0.8796082735061646
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0.8669115900993347
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0.8667788505554199
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0.818247377872467
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