Pricing of Ratchet equity-indexed annuities under stochastic interest rates
From MaRDI portal
Publication:2463567
DOI10.1016/j.insmatheco.2006.11.005zbMath1141.91457OpenAlexW2048467843MaRDI QIDQ2463567
Publication date: 14 December 2007
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.11.005
Related Items (34)
Valuation of annuity guarantees under a self-exciting switching jump model ⋮ Valuation of Equity-indexed Annuities with Stochastic Interest Rate and Jump Diffusion ⋮ Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps ⋮ Pricing and hedging equity-indexed annuities via local risk-minimization ⋮ Equity-linked annuities with multiscale hybrid stochastic and local volatility ⋮ Fourier based methods for the management of complex life insurance products ⋮ Pricing equity-indexed annuities under stochastic interest rates using copulas ⋮ Pricing ratchet equity index annuity with mortality risk by complex Fourier series method ⋮ Equity-linked products: evaluation of the dynamic hedging errors under stochastic mortality ⋮ 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 ⋮ Bivariate, multivariate, and matrix variate normal characterizations: A brief survey II ⋮ 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 EIA with cliquet-style guarantees under time-changed Lévy models by frame duality projection ⋮ A comonotonicity-based valuation method for guaranteed annuity options ⋮ Pricing of equity indexed annuity under fractional Brownian motion model ⋮ Valuation of equity-indexed annuity under stochastic mortality and interest rate ⋮ Equity-linked guaranteed minimum death benefits with dollar cost averaging ⋮ Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks ⋮ Cliquet-style return guarantees in a regime switching Lévy model ⋮ Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model ⋮ Application of data clustering and machine learning in variable annuity valuation ⋮ Valuation of equity-indexed annuities under correlated jump-diffusion processes ⋮ 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 ⋮ 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 ⋮ Risk-minimizing hedging strategy for an equity-indexed annuity under a regime switching model ⋮ Pricing annuity guarantees under a double regime-switching model ⋮ Pricing guaranteed minimum withdrawal benefits under stochastic interest rates ⋮ Pricing Annuity Guarantees Under a Regime-Switching Model
Cites Work
- Unnamed Item
- Unnamed Item
- Optimal approximations for risk measures of sums of lognormals based on conditional expectations
- The concept of comonotonicity in actuarial science and finance: theory.
- The concept of comonotonicity in actuarial science and finance: applications.
- Pricing equity-indexed annuities with path-dependent options.
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- Affine stochastic mortality
- Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- The pricing of Asian options under stochastic interest rates
- The Market Model of Interest Rate Dynamics
- Geometric Asian options: valuation and calibration with stochastic volatility
- The log-normal approximation in financial and other computations
- Smoothing and forecasting mortality rates
- Changes of numéraire, changes of probability measure and option pricing
- Arbitrage Theory in Continuous Time
- Pricing Lookback Options and Dynamic Guarantees
- Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
- Valuing Equity-Indexed Annuities
- Interest rate models -- theory and practice
This page was built for publication: Pricing of Ratchet equity-indexed annuities under stochastic interest rates
