Valuation of annuity guarantees under a self-exciting switching jump model

DOI10.1007/S11009-022-09931-8MaRDI QIDQ2152249zbMATH OpenOpenAlexFDO

Authors Charles Guy Njike Leunga, Donatien Hainaut

Publication date 7 July 2022

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-022-09931-8

zbMATH Keywords

Fourier transformhidden Markov chainvariable annuityself-exciting

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A Markov model for switching regressions
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A Regime-Switching Model of Long-Term Stock Returns
• A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
• A switching self-exciting jump diffusion process for stock prices
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Analytical calculation of risk measures for variable annuity guaranteed benefits
• Fair valuation of participating policies with surrender options and regime switching
• Financial valuation of guaranteed minimum withdrawal benefits
• Impulse control of pension fund contributions, in a regime switching economy
• Investment guarantees: Modeling and risk management for equity-linked life insurance
• Option pricing and Esscher transform under regime switching
• Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
• Pricing annuity guarantees under a double regime-switching model
• Pricing annuity guarantees under a regime-switching model
• Pricing interest-rate-derivative securities
• Pricing of Ratchet equity-indexed annuities under stochastic interest rates
• Risk measure and fair valuation of an investment guarantee in life insurance
• State-dependent fees for variable annuity guarantees
• Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
• Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model

Cited in

(5)

• Valuation of variable annuities under stochastic volatility and stochastic jump intensity
• Affine Heston model style with self-exciting jumps and long memory
• Impact of volatility clustering on equity indexed annuities
• VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS
• A comonotonicity-based valuation method for guaranteed annuity options

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