Impact of volatility clustering on equity indexed annuities
From MaRDI portal
Publication:2374129
DOI10.1016/j.insmatheco.2016.10.009zbMath1371.91090OpenAlexW2540865463MaRDI QIDQ2374129
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
Applications of statistics to actuarial sciences and financial mathematics (62P05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
Related Items
Portfolio management with targeted constant market volatility ⋮ Contagion modeling between the financial and insurance markets with time changed processes ⋮ Robust evaluation of SCR for participating life insurances under Solvency II ⋮ Clustered Lévy processes and their financial applications ⋮ A self-exciting switching jump diffusion: properties, calibration and hitting time ⋮ Calibrating Gompertz in reverse: what is your longevity-risk-adjusted global age?
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Pricing equity-indexed annuities with path-dependent options.
- Valuing equity-linked death benefits in jump diffusion models
- Pricing annuity guarantees under a double regime-switching model
- Financial valuation of guaranteed minimum withdrawal benefits
- GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
- Multivariate Hawkes processes: an application to financial data
- Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- Modelling Financial High Frequency Data Using Point Processes
- A cluster process representation of a self-exciting process
- Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
- A model for interest rates with clustering effects
- VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK
- Spectra of some self-exciting and mutually exciting point processes
- Regions of positive and unimodal series expansion of the Edgeworth and Gram-Charlier approximations
- Estimating value-at-risk: a point process approach
- Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
- Valuing Equity-Indexed Annuities
- Modelling microstructure noise with mutually exciting point processes
- SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION
- Gram-Charlier densities.
