Pricing equity-indexed annuities with path-dependent options.

DOI10.1016/j.insmatheco.2003.09.006zbMath1103.91368OpenAlexW2033435952MaRDI QIDQ1423350

Hangsuck Lee

Publication date: 14 February 2004

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2003.09.006

zbMATH Keywords

PricingtransformsOptionEsscherEquity-indexed annuitiesIndexing methodParticipation rate

Mathematics Subject Classification ID

Related Items (38)

Pricing two-asset alternating barrier options with icicles and their variations ⋮ Outside barrier lookback options with floating strike ⋮ Impact of volatility clustering on equity indexed annuities ⋮ Valuation of Equity-indexed Annuities with Stochastic Interest Rate and Jump Diffusion ⋮ Applications of central limit theorems for equity-linked insurance ⋮ Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation ⋮ Valuing equity-indexed annuities with icicled barrier options ⋮ VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK ⋮ Pricing and hedging equity-indexed annuities via local risk-minimization ⋮ Efficient multiple control variate method with applications to exotic option pricing ⋮ Equity-linked annuities with multiscale hybrid stochastic and local volatility ⋮ Lookback options and dynamic fund protection under multiscale stochastic volatility ⋮ Pricing equity-indexed annuities under stochastic interest rates using copulas ⋮ Equity-linked life insurance based on traditional products: the case of select products ⋮ Equity-linked products: evaluation of the dynamic hedging errors under stochastic mortality ⋮ How sensitive is the pricing of lookback and interest rate guarantees when changing the modelling assumptions? ⋮ Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts ⋮ Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees ⋮ Pricing Options Using Lattice Rules ⋮ Partial Hedging for Equity-Linked Products Using Risk-Minimizing Strategies ⋮ Valuing equity-linked death benefits and other contingent options: a discounted density approach ⋮ Pricing of equity indexed annuity under fractional Brownian motion model ⋮ Valuation of equity-indexed annuity under stochastic mortality and interest rate ⋮ Pricing maturity guarantee with dynamic withdrawal benefit ⋮ Equity-linked guaranteed minimum death benefits with dollar cost averaging ⋮ Pricing of Ratchet equity-indexed annuities under stochastic interest rates ⋮ Risk-Based Capital Factor Determination With Jump Risk ⋮ Application of data clustering and machine learning in variable annuity valuation ⋮ The distribution of refracted Lévy processes with jumps having rational Laplace transforms ⋮ Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality ⋮ Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation ⋮ Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method ⋮ Valuation of cliquet-style guarantees with death benefits ⋮ Risk-minimizing hedging strategy for an equity-indexed annuity under a regime switching model ⋮ Valuation of Equity-Linked Insurance and Annuity Products with Binomial Models ⋮ Pricing annuity guarantees under a double regime-switching model ⋮ Valuing equity-linked death benefits with a threshold expense strategy ⋮ The time of deducting fees for variable annuities under the state-dependent fee structure

Cites Work

• Unnamed Item
• Unnamed Item
• Products of trees for investment analysis
• Double barrier hitting time distributions with applications to exotic options
• Actuarial bridges to dynamic hedging and option pricing
• Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
• Computation of the Bivariate Normal Integral
• Computation of the Trivariate Normal Integral
• Hedging lookback and partial lookback options using Malliavin calculus
• Valuing Equity-Indexed Annuities
• “Pricing Dynamic Investment Fund Protection,” Hans U. Gerber and Gérard Pafumi, April 2000
• “Valuing Equity-Indexed Annuities,” Serena Tiong, October 2000

This page was built for publication: Pricing equity-indexed annuities with path-dependent options.