A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach

DOI10.1080/17442508.2013.859388zbMath1337.91047OpenAlexW1996929291MaRDI QIDQ2812013

Xiaoming Liu, Huan Gao, Rogemar S. Mamon

Publication date: 10 June 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2013.859388

zbMATH Keywords

interest rate riskmortality riskchange of numéraireannuity-contingent derivativeendowment-risk-adjusted measure

Mathematics Subject Classification ID

Related Items (13)

Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation ⋮ The role of the dependence between mortality and interest rates when pricing guaranteed annuity options ⋮ Valuing guaranteed minimum accumulation benefits by a change of numéraire approach ⋮ Pricing pension buy-outs under stochastic interest and mortality rates ⋮ Pricing extreme mortality risk in the wake of the COVID-19 pandemic ⋮ An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks ⋮ The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices ⋮ Pricing a guaranteed annuity option under correlated and regime-switching risk factors ⋮ Pricing guaranteed annuity options in a linear-rational Wishart mortality model ⋮ Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods ⋮ Risk measurement of a guaranteed annuity option under a stochastic modelling framework ⋮ Mortality modelling with regime-switching for the valuation of a guaranteed annuity option ⋮ Annuity contract valuation under dependent risks

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