Pricing guaranteed annuity options in a linear-rational Wishart mortality model (Q6199669)

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.