Pricing European options on deferred annuities
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Publication:2442531
DOI10.1016/j.insmatheco.2013.01.004zbMath1284.91557OpenAlexW3123958650MaRDI QIDQ2442531
Jonathan Ziveyi, Craig Blackburn, Michael Sherris
Publication date: 3 April 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.01.004
Laplace transformsEuropean optionsmortality riskguaranteed annuity optionsdeferred insurance products
Related Items (3)
Valuing variable annuity guarantees on multiple assets ⋮ Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities ⋮ Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
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- Guaranteed Annuity Options
- Smoothing and forecasting mortality rates
- Applied Partial Differential Equations
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Credit risk: Modelling, valuation and hedging
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