Pricing of equity indexed annuity under fractional Brownian motion model

DOI10.1155/2014/380718MaRDI QIDQ1723974zbMATH OpenOpenAlexWikidataFDO

Authors Lin Xu, Guangjun Shen, Dingjun Yao

Publication date 14 February 2019

Published in Abstract and Applied Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2014/380718

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Fractional processes, including fractional Brownian motion (60G22)

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Cites work

• scientific article; zbMATH DE number 1256059 (Why is no real title available?)
• Affine processes for dynamic mortality and actuarial valuations
• An asymptotic expansion for one-sided Brownian exit densities
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
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• Investment guarantees: Modeling and risk management for equity-linked life insurance
• Long-Term Memory in Stock Market Prices
• Mortality modelling with Lévy processes
• No arbitrage without semimartingales
• Nonparametric Pricing of Interest Rate Derivative Securities
• Optimal surrender strategies for equity-indexed annuity investors
• Pricing Lookback Options and Dynamic Guarantees
• Pricing equity-indexed annuities with path-dependent options.
• Pricing of Ratchet equity-indexed annuities under stochastic interest rates
• Self-similar processes in collective risk theory
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Stochastic mortality under measure changes
• Stock market prices and long-range dependence
• The design of equity-indexed annuities
• There is no nontrivial hedging portfolio for option pricing with transaction costs
• Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
• Valuation of contingent claims with mortality and interest rate risks
• Valuation of equity-indexed annuity under stochastic mortality and interest rate
• Valuing Equity-Indexed Annuities

Cited in

(4)

• Pricing Equity-indexed Annuities When Discrete Dividends Follow a Markov-Modulated Jump Diffusion Model
• Variable annuities valuation under a mixed fractional Brownian motion environment with jumps considering mortality risk
• Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model
• Optimal Management of a Variable Annuity Invested in a Black–Scholes Market Driven by a Multidimensional Fractional Brownian Motion

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