Valuation of guaranteed annuity conversion options.
From MaRDI portal
Publication:1413340
DOI10.1016/S0167-6687(03)00146-XzbMath1071.91019MaRDI QIDQ1413340
Steven Haberman, Laura Ballotta
Publication date: 16 November 2003
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS, On accounting standards and fair valuation of life insurance and pension liabilities, Projecting Mortality Trends, Equity-linked pension schemes with guarantees, Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility, Valuation of guaranteed annuity options using a stochastic volatility model for equity prices, Valuation of contingent claims with mortality and interest rate risks, Measuring the effect of mortality improvements on the cost of annuities, The timing of annuitization: Investment dominance and mortality risk, Pricing and hedging guaranteed annuity options via static option replication., The premium and the risk of a life policy in the presence of interest rate fluctuations, The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case, Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method, The fair value of guaranteed annuity options
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
