Annuity contract valuation under dependent risks
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Publication:2300949
DOI10.1007/S13160-019-00366-2zbMATH Open1443.91255OpenAlexW2944903851WikidataQ127872930 ScholiaQ127872930MaRDI QIDQ2300949FDOQ2300949
Authors: Yixing Zhao, Rogemar Mamon 
Publication date: 28 February 2020
Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13160-019-00366-2
Recommendations
- Valuation of contingent claims with mortality and interest rate risks
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- A comonotonicity-based valuation method for guaranteed annuity options
Cites Work
- Modeling and forecasting U.S. mortality. (With discussion)
- Pricing interest-rate-derivative securities
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- The concept of comonotonicity in actuarial science and finance: theory.
- Valuation of contingent claims with mortality and interest rate risks
- Stochastic flows and the forward measure
- Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection
- Optimal approximations for risk measures of sums of lognormals based on conditional expectations
- The concept of comonotonicity in actuarial science and finance: applications.
- Upper and lower bounds for sums of random variables
- Stochastic mortality under measure changes
- Pricing a guaranteed annuity option under correlated and regime-switching risk factors
- A comonotonicity-based valuation method for guaranteed annuity options
- A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach
- A computationally efficient algorithm for estimating the distribution of future annuity values under interest-rate and longevity risks
- Three ways to solve for bond prices in the Vasiček model
- On the (in-)dependence between financial and actuarial risks
- Comonotonic approximations to quantiles of life annuity conditional expected present value
- An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions
- An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks
Cited In (7)
- Bond pricing formulas for Markov-modulated affine term structure models
- A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach
- Valuing guaranteed minimum accumulation benefits by a change of numéraire approach
- Analytical calculation of risk measures for variable annuity guaranteed benefits
- Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods
- An application of comonotonicity theory in a stochastic life annuity framework
- An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks
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