Pricing inflation-linked variable annuities under stochastic interest rates
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Publication:2252282
Recommendations
- Optimal annuity portfolio under inflation risk
- Optimal management and inflation protection for defined contribution pension plans
- Joint modeling of inflation and real interest rate dynamics with application to equity-linked investment
- Pricing inflation-linked bonds
- Solution of portfolio strategies on hedging against inflation risk
Cited in
(17)- Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee
- Stochastic interest model based on compound Poisson process and applications in actuarial science
- Pricing variable annuity guarantees in a local volatility framework
- Pricing and hedging of inflation-indexed bonds in an affine framework
- Optimal annuity portfolio under inflation risk
- Pricing and hedging of variable annuities with state-dependent fees
- Pricing range notes within Wishart affine models
- Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality
- Real-time valuation of large variable annuity portfolios: a Green mesh approach
- Valuing inflation-linked death benefits under a stochastic volatility framework
- Long guarantees with short duration: the rolling annuity
- Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach
- Immediate Annuity Pricing in the Presence of Unobserved Heterogeneity
- Joint modeling of inflation and real interest rate dynamics with application to equity-linked investment
- Valuation of inflation-linked annuities in a Lévy market
- A Comparison of Index-Linked Annuities
- Evaluation of participating endowment life insurance policies in a stochastic environment
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