Pricing of Ratchet equity-indexed annuities under stochastic interest rates
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Publication:2463567
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- Valuing Equity-Indexed Annuities
Cited in
(43)- Valuing equity-indexed annuities with icicled barrier options
- Pricing of equity indexed annuity under fractional Brownian motion model
- Equity-linked products: evaluation of the dynamic hedging errors under stochastic mortality
- Application of data clustering and machine learning in variable annuity valuation
- Valuation of equity-indexed annuities under correlated jump-diffusion processes
- Measuring profitability of life insurance products under Solvency II
- Multi-year analysis of solvency capital in life insurance
- Valuation of cliquet-style guarantees with death benefits
- Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation
- Valuation of annuity guarantees under a self-exciting switching jump model
- Pricing EIA with cliquet-style guarantees under time-changed Lévy models by frame duality projection
- Equity-linked guaranteed minimum death benefits with dollar cost averaging
- Risk-minimizing hedging strategy for an equity-indexed annuity under a regime switching model
- Pricing annuity guarantees under a double regime-switching model
- Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
- A comonotonicity-based valuation method for guaranteed annuity options
- Fourier based methods for the management of complex life insurance products
- Evaluation of equity-indexed annuities under transaction costs
- Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
- Valuation of equity-indexed annuities with stochastic interest rate and jump diffusion
- Pricing Asian options and equity-indexed annuities with regime switching by the trinomial tree method
- Efficient pricing of ratchet equity indexed annuities in a Variance-Gamma economy
- Pricing Equity-indexed Annuities When Discrete Dividends Follow a Markov-Modulated Jump Diffusion Model
- Equity-linked annuities with multiscale hybrid stochastic and local volatility
- Bivariate, multivariate, and matrix variate normal characterizations: A brief survey II
- Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
- Immediate Annuity Pricing in the Presence of Unobserved Heterogeneity
- Pricing annuity guarantees under a regime-switching model
- Cliquet-style return guarantees in a regime switching Lévy model
- Pricing and hedging equity-indexed annuities via local risk-minimization
- Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes
- Mitigating interest rate risk in variable annuities: an analysis of hedging effectiveness under model risk
- Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model
- Pricing ratchet equity index annuity with mortality risk by complex Fourier series method
- Pricing equity-indexed annuities under stochastic interest rates using copulas
- Analyzing the interest rate risk of equity-indexed annuities via scenario matrices
- Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
- Evaluation of participating endowment life insurance policies in a stochastic environment
- Valuation of equity-indexed annuity under stochastic mortality and interest rate
- Efficient simulation and valuation of equity-indexed annuities under a two-factor G2++ model
- Robust pricing of equity-indexed annuities under uncertain volatility and stochastic interest rate
- Pricing and hedging of variable annuities with path-dependent guarantee in Wishart stochastic volatility models
- Equity-linked annuity valuation under fractional jump-diffusion financial and mortality models
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