Pricing rate of return guarantees in a Heath-Jarrow-Morton framework

DOI10.1016/S0167-6687(99)00020-7MaRDI QIDQ1974032zbMATH OpenFDO

Authors Kristian R. Miltersen, Svein-Arne Persson

Publication date 8 May 2000

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

Full work available at URL https://doi.org/10.1016/S0167-6687(99)00020-7

zbMATH Keywords

Heath-Jarrow-Morton term structure modelinterest rate guaranteesmaturity guaranteesmulti-period guaranteesstochastic interest rates

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A stochastic calculus model of continuous trading: Complete markets
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Changes of numéraire, changes of probability measure and option pricing
• Evaluation of the GIC rollover option
• scientific article; zbMATH DE number 1869269 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Pricing Options On Risky Assets In A Stochastic Interest Rate Economy¹
• Reserving for maturity guarantees: Two approaches
• The pricing of options and corporate liabilities

Cited in

(23)

• Valuation and hedging of participating life-insurance policies under management discretion
• A Monte Carlo approach for the American put under stochastic interest rates
• Pricing of multi-period rate of return guarantees.
• Pricing and hedging guaranteed annuity options via static option replication.
• Asset and liability modelling for participating policies with guarantees
• Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: a stochastic programming approach
• Hedging guarantees in variable annuities under both equity and interest rate risks
• Pricing and hedging guaranteed returns on mix funds
• Pricing of multi-period rate of return guarantees: the Monte Carlo approach
• The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
• Interest Guarantees in Banking
• UTILITY INDIFFERENCE PRICING OF INTEREST-RATE GUARANTEES
• Pricing participating inflation retirement funds through option modeling and copulas
• On accounting standards and fair valuation of life insurance and pension liabilities
• Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
• Analyzing the interest rate risk of equity-indexed annuities via scenario matrices
• Pricing maturity guarantee with dynamic withdrawal benefit
• Pricing rate of return guarantees in regular premium unit linked insurance
• The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees
• Valuation of life insurance surrender and exchange options
• Valuation of the interest rate guarantee embedded in defined contribution pension plans
• Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment
• Evaluation of insurance products with guarantee in incomplete markets

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