Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality

DOI10.1016/j.insmatheco.2016.06.014zbMath1371.91178OpenAlexW3124371298MaRDI QIDQ2520456

Katja Ignatieva, Andrew Song, Jonathan Ziveyi

Publication date: 13 December 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.06.014

zbMATH Keywords

interest rate riskmortality riskvariable annuityFourier space time-stepping (FST) algorithmguaranteed minimum benefits (GMB)

Mathematics Subject Classification ID

Related Items (22)

Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation ⋮ Valuation of annuity guarantees under a self-exciting switching jump model ⋮ Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method ⋮ Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method ⋮ Practical partial equilibrium framework for pricing of mortality-linked instruments in continuous time ⋮ Valuing guaranteed minimum accumulation benefits by a change of numéraire approach ⋮ Valuation of general GMWB annuities in a low interest rate environment ⋮ Option pricing under regime-switching models: novel approaches removing path-dependence ⋮ Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models ⋮ Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model ⋮ European option pricing with market frictions, regime switches and model uncertainty ⋮ Analyzing the interest rate risk of equity-indexed annuities via scenario matrices ⋮ Valuation of variable annuities under stochastic volatility and stochastic jump intensity ⋮ Equity-linked guaranteed minimum death benefits with dollar cost averaging ⋮ Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates ⋮ FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY ⋮ Real-Time Valuation of Large Variable Annuity Portfolios: A Green Mesh Approach ⋮ The Valuation of a Guaranteed Minimum Maturity Benefit under a Regime-Switching Framework ⋮ Pricing equity-linked life insurance contracts with multiple risk factors by neural networks ⋮ Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models ⋮ Application of power series approximation techniques to valuation of European style options ⋮ Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk

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