Evaluation of equity-indexed annuities under transaction costs

MaRDI QIDQ2801425zbMATH OpenFDO

Authors Patrice Gaillardetz, Joe Youssef Lakhmiri

Publication date 7 April 2016

Published in Mitteilungen. Schweizerische Aktuarvereinigung (SAV) (Search for Journal in Brave)

Full work available at URL https://www.e-periodica.ch/cntmng?pid=msa-003:2009:0::124

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Valueing equity-indexed annuities with mortality risks
• Valuation of equity-indexed annuities under correlated jump-diffusion processes
• Valuation of equity-indexed annuity under stochastic mortality and interest rate
• Valuation of equity-indexed annuities with stochastic interest rate and jump diffusion
• The design of equity-indexed annuities
• Valuation of equity-indexed annuity under jump diffusion process
• Pricing of Ratchet equity-indexed annuities under stochastic interest rates
• Pricing equity-indexed annuities under stochastic interest rates using copulas
• Pricing equity-indexed annuities with path-dependent options.
• Valuing equity-indexed annuities with icicled barrier options

Cited in

(1)

• Valuing equity-indexed annuities with icicled barrier options

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