Pricing variable annuity guarantees in a local volatility framework

DOI10.1016/j.insmatheco.2013.09.007zbMath1290.91158arXiv1204.0453OpenAlexW1502216164MaRDI QIDQ2015631

Griselda Deelstra, Grégory Rayée

Publication date: 23 June 2014

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

Full work available at URL: https://arxiv.org/abs/1204.0453

zbMATH Keywords

local volatilitystochastic interest ratesvariable annuity guarantees

Mathematics Subject Classification ID

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

Related Items (10)

The role of the dependence between mortality and interest rates when pricing guaranteed annuity options ⋮ Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method ⋮ Fourier based methods for the management of complex life insurance products ⋮ Analyzing the interest rate risk of equity-indexed annuities via scenario matrices ⋮ Cliquet-style return guarantees in a regime switching Lévy model ⋮ Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework ⋮ Pricing and hedging of variable annuities with state-dependent fees ⋮ Variable annuities in a Lévy-based hybrid model with surrender risk ⋮ Valuation of large variable annuity portfolios under nested simulation: a functional data approach ⋮ Variable annuity pricing, valuation, and risk management: a survey

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