The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
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Publication:2374113
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Cited in
(22)- An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks
- Robust evaluation of SCR for participating life insurances under Solvency II
- Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods
- Annuity contract valuation under dependent risks
- Polynomial diffusion models for life insurance liabilities
- Valuing guaranteed minimum accumulation benefits by a change of numéraire approach
- Pricing extreme mortality risk in the wake of the COVID-19 pandemic
- A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach
- Pricing of endowment insurance products under the mortality dependence model
- Variable annuity pricing, valuation, and risk management: a survey
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- Pricing a guaranteed annuity option under correlated and regime-switching risk factors
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