Impact of volatility clustering on equity indexed annuities
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Publication:2374129
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
Cites work
- scientific article; zbMATH DE number 1466110 (Why is no real title available?)
- scientific article; zbMATH DE number 3378360 (Why is no real title available?)
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- Financial valuation of guaranteed minimum withdrawal benefits
- Gram-Charlier densities.
- Guaranteed minimum withdrawal benefit in variable annuities
- Investment guarantees: Modeling and risk management for equity-linked life insurance
- Modelling Financial High Frequency Data Using Point Processes
- Modelling microstructure noise with mutually exciting point processes
- Multivariate Hawkes processes: an application to financial data
- Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
- Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
- Pricing annuity guarantees under a double regime-switching model
- Pricing equity-indexed annuities with path-dependent options.
- Regions of positive and unimodal series expansion of the Edgeworth and Gram-Charlier approximations
- SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION
- Spectra of some self-exciting and mutually exciting point processes
- Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
- Valuing Equity-Indexed Annuities
- Valuing equity-linked death benefits in a regime-switching framework
- Valuing equity-linked death benefits in jump diffusion models
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
- Contagion modeling between the financial and insurance markets with time changed processes
- Hawkes processes in energy markets: modelling, estimation and derivatives pricing
- 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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