Impact of volatility clustering on equity indexed annuities
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Publication:2374129
DOI10.1016/J.INSMATHECO.2016.10.009zbMATH Open1371.91090OpenAlexW2540865463MaRDI QIDQ2374129FDOQ2374129
Authors: Donatien Hainaut 
Publication date: 14 December 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.10.009
Recommendations
- Valuation of equity-indexed annuities under correlated jump-diffusion processes
- Valuation of annuity guarantees under a self-exciting switching jump model
- Valuation of equity-indexed annuities with stochastic interest rate and jump diffusion
- Valuation of equity-indexed annuity under jump diffusion process
- Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
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Cited In (10)
- Clustered Lévy processes and their financial applications
- Portfolio management with targeted constant market volatility
- Robust evaluation of SCR for participating life insurances under Solvency II
- TARGET VOLATILITY STRATEGIES FOR GROUP SELF-ANNUITY PORTFOLIOS
- A self-exciting switching jump diffusion: properties, calibration and hitting time
- Hawkes processes in energy markets: modelling, estimation and derivatives pricing
- Contagion modeling between the financial and insurance markets with time changed processes
- Valuation of equity-indexed annuity under jump diffusion process
- Valuation of equity-indexed annuities under correlated jump-diffusion processes
- Calibrating Gompertz in reverse: what is your longevity-risk-adjusted global age?
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