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

DOI10.1007/S11009-022-09931-8zbMATH Open1489.91270OpenAlexW3187839944MaRDI QIDQ2152249FDOQ2152249

Donatien Hainaut, Charles Guy Njike Leunga

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

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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)

Cites Work

• A theory of the term structure of interest rates
• A Markov model for switching regressions
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• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• Analytical calculation of risk measures for variable annuity guaranteed benefits
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• Financial valuation of guaranteed minimum withdrawal benefits
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• A Regime-Switching Model of Long-Term Stock Returns
• Impulse control of pension fund contributions, in a regime switching economy
• Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
• Risk measure and fair valuation of an investment guarantee in life insurance
• Pricing annuity guarantees under a double regime-switching model
• Pricing of Ratchet equity-indexed annuities under stochastic interest rates
• Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
• STATE-DEPENDENT FEES FOR VARIABLE ANNUITY GUARANTEES
• Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model
• A switching self-exciting jump diffusion process for stock prices

Cited In (4)

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

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