Valuation of cliquet-style guarantees with death benefits
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Recommendations
- Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality
- Valuing equity-linked death benefits and other contingent options: a discounted density approach
- Valuing equity-linked death benefits in jump diffusion models
- Valuing equity-linked death benefits in general exponential Lévy models
- Valuation of Equity-Linked Insurance and Annuity Products with Binomial Models
Cites work
- American Options with Lookback Payoff
- Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws
- Analytic Solution for Return of Premium and Rollup Guaranteed Minimum Death Benefit Options Under Some Simple Mortality Laws
- Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
- Cliquet-style return guarantees in a regime switching Lévy model
- Computing exponential moments of the discrete maximum of a Lévy process and lookback options
- Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
- Equity-linked guaranteed minimum death benefits with dollar cost averaging
- Fitting combinations of exponentials to probability distributions
- Geometric stopping of a random walk and its applications to valuing equity-linked death benefits
- scientific article; zbMATH DE number 4078444 (Why is no real title available?)
- Pricing equity-indexed annuities with path-dependent options.
- Pricing Lookback Options and Dynamic Guarantees
- Pricing of Ratchet equity-indexed annuities under stochastic interest rates
- Stochastic life annuities
- The design of equity-indexed annuities
- Valuation of equity-indexed annuity under stochastic mortality and interest rate
- Valuing Equity-Indexed Annuities
- Valuing equity-linked death benefits and other contingent options: a discounted density approach
- 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 in jump diffusion models
- Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality
Cited in
(12)- Equity-linked guaranteed minimum death benefits with dollar cost averaging
- Valuing equity-linked death benefits in general exponential Lévy models
- Valuing equity-linked death benefits with a threshold expense strategy
- Valuing guaranteed equity-linked contracts by Laguerre series expansion
- Valuing equity-linked death benefits and other contingent options: a discounted density approach
- Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality
- Valuing inflation-linked death benefits under a stochastic volatility framework
- Geometric stopping of a random walk and its applications to valuing equity-linked death benefits
- Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios
- Randomization and the valuation of guaranteed minimum death benefits
- Valuing equity-linked death benefits on multiple life with time until death following a K_n distribution
- Valuation of contingent claims with mortality and interest rate risks
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