A dimension-reduction algorithm for the valuation of surrender options in EIA contracts with stochastic interest rates

DOI10.1016/J.MATCOM.2013.08.006MaRDI QIDQ2229798zbMATH OpenOpenAlexFDO

Authors Chih-Kai Chang

Publication date 18 February 2021

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2013.08.006

zbMATH Keywords

surrender optionequity-indexed annuityVasicek modelfair valuationratchet option

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• An equilibrium characterization of the term structure
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
• Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
• Fair valuation of path-dependent participating life insurance contracts.
• Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
• Investment guarantees: Modeling and risk management for equity-linked life insurance
• Market value of life insurance contracts under stochastic interest rates and default risk
• Martingale methods in financial modelling.
• Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
• Pricing life insurance contracts with early exercise features
• The design of equity-indexed annuities
• The pricing of options and corporate liabilities
• Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
• Valuing Equity-Indexed Annuities

Cited in

(3)

• Valuation of general GMWB annuities in a low interest rate environment
• NUMERICAL HEDGING OF ELECTRICITY CONTRACTS USING DIMENSION REDUCTION
• Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees

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