Valuing equity-linked death benefits in jump diffusion models

DOI10.1016/J.INSMATHECO.2013.08.010zbMATH Open1290.91162OpenAlexW2074007783MaRDI QIDQ2015627FDOQ2015627

Authors: Hailiang Yang, H. U. Gerber, E. S. W. Shiu 

Publication date: 23 June 2014

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

Full work available at URL: http://hdl.handle.net/10722/198096

Recommendations

• Valuing equity-linked death benefits in a regime-switching framework
• Valuing equity-linked death benefits in general exponential Lévy models
• Valuing equity-linked death benefits and other contingent options: a discounted density approach
• Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model
• Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model
• Valuing equity-linked death benefits on multiple life with time until death following a \(K_n\) distribution
• First passage problems of refracted jump diffusion processes and their applications in valuing equity-linked death benefits
• Valuing equity-linked death benefits with a threshold expense strategy
• Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality
• Valuing inflation-linked death benefits under a stochastic volatility framework

zbMATH Keywords

jump diffusionvariable annuitiesbarrier optionsequity-linked death benefitsexponential stopping

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Diffusion processes (60J60)

Cites Work

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Cited In (37)

• Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality
• Valuing equity-linked death benefits on multiple life with time until death following a \(K_n\) distribution
• Randomization and the valuation of guaranteed minimum death benefits
• Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model
• Variable annuities valuation under a mixed fractional Brownian motion environment with jumps considering mortality risk
• Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon
• A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes
• Variable annuity pricing, valuation, and risk management: a survey
• Valuing guaranteed minimum accumulation benefits by a change of numéraire approach
• Valuation of large variable annuity portfolios under nested simulation: a functional data approach
• Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model
• Impact of volatility clustering on equity indexed annuities
• Closed-form solutions for guaranteed minimum accumulation and death benefits
• Valuing equity-linked death benefits with a threshold expense strategy
• Pricing dynamic fund protections with regime switching
• First passage problems of refracted jump diffusion processes and their applications in valuing equity-linked death benefits
• Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
• Occupation times of hyper-exponential jump diffusion processes with application to price step options
• Super-replication of life-contingent options under the Black-Scholes framework
• Pricing some life-contingent lookback options under regime-switching Lévy models
• Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models
• Analytic valuation of GMDB options with utility based asset allocation
• Valuation of cliquet-style guarantees with death benefits
• Valuing equity-linked death benefits in a regime-switching framework
• Geometric stopping of a random walk and its applications to valuing equity-linked death benefits
• Pricing dynamic fund protections for a hyperexponential jump diffusion process
• Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
• Valuing equity-linked death benefits in general exponential Lévy models
• Valuing guaranteed equity-linked contracts by Laguerre series expansion
• Equity-linked guaranteed minimum death benefits with dollar cost averaging
• Valuing equity-linked death benefits and other contingent options: a discounted density approach
• A factorization of a Lévy process over a phase-type horizon
• Valuing equity-linked annuities under high-water mark fee structure
• The time of deducting fees for variable annuities under the state-dependent fee structure
• Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk
• Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees
• An overview of exact solution methods for guaranteed minimum death benefit options in variable annuities

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