Valuation of equity-indexed annuities under correlated jump-diffusion processes

DOI10.1016/J.CAM.2021.113575zbMath1471.91481OpenAlexW3153339391MaRDI QIDQ2029647

Puneet Pasricha, Dharmaraja Selvamuthu, Nitu Sharma

Publication date: 3 June 2021

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2021.113575

zbMATH Keywords

stochastic interest ratechange of measurejump-diffusionequity indexed annuities

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Actuarial mathematics (91G05) Jump processes on general state spaces (60J76)

Cites Work

• Structural credit risk modelling with Hawkes jump diffusion processes
• Pricing power exchange options with Hawkes jump diffusion processes
• Pricing of Ratchet equity-indexed annuities under stochastic interest rates
• A Lévy process-based framework for the fair valuation of participating life insurance contracts
• Valuation of Equity-indexed Annuities with Stochastic Interest Rate and Jump Diffusion
• On Lewis' simulation method for point processes
• Pricing of Unit-linked Life Insurance Policies
• Pricing and hedging equity-indexed annuities via local risk-minimization
• Pricing Lookback Options and Dynamic Guarantees
• Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
• Valuing Equity-Indexed Annuities

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