Guaranteed Annuity Options
From MaRDI portal
Publication:4661677
DOI10.2143/AST.33.2.503687zbMath1098.91527OpenAlexW4256051109MaRDI QIDQ4661677
Phelim P. Boyle, Mary R. Hardy
Publication date: 30 March 2005
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2143/ast.33.2.503687
Applications of statistics to actuarial sciences and financial mathematics (62P05) Reliability and life testing (62N05)
Related Items
A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry, VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS, The role of the dependence between mortality and interest rates when pricing guaranteed annuity options, A subordinated Markov model for stochastic mortality, Valuation of an early exercise defined benefit underpin hybrid pension, Hedging longevity risk in defined contribution pension schemes, A note on utility based pricing and asymptotic risk diversification, Pricing a guaranteed annuity option under correlated and regime-switching risk factors, LESS-EXPENSIVE VALUATION AND RESERVING OF LONG-DATED VARIABLE ANNUITIES WHEN INTEREST RATES AND MORTALITY RATES ARE STOCHASTIC, Valuation of guaranteed annuity conversion options., A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions, Pricing European options on deferred annuities, Pricing and hedging guaranteed annuity options via static option replication., Market-Consistent Valuation and Funding of Cash Balance Pensions, Evaluating the Technical Provisions for Traditional Brazilian Annuity Plans: Continuous-Time Stochastic Approach Based on Solvency Principles, Impact of Flexible Periodic Premiums on Variable Annuity Guarantees, Policyholder Exercise Behavior in Life Insurance: The State of Affairs, A comonotonicity-based valuation method for guaranteed annuity options, EFFICIENT DYNAMIC HEDGING FOR LARGE VARIABLE ANNUITY PORTFOLIOS WITH MULTIPLE UNDERLYING ASSETS, Valuation of guaranteed annuity options using a stochastic volatility model for equity prices, Risk measurement of a guaranteed annuity option under a stochastic modelling framework, Annuity Uncertainty with Stochastic Mortality and Interest Rates, Pricing variable annuity guarantees in a local volatility framework, Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities, Affine stochastic mortality, The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case, DYNAMIC HEDGING STRATEGIES FOR CASH BALANCE PENSION PLANS, Optimal initiation of a GLWB in a variable annuity: no arbitrage approach, Valuation of contingent claims with mortality and interest rate risks, STATE-DEPENDENT FEES FOR VARIABLE ANNUITY GUARANTEES, A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach, On accounting standards and fair valuation of life insurance and pension liabilities, Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method, The fair value of guaranteed annuity options, Variable annuity pricing, valuation, and risk management: a survey, Pricing Annuity Guarantees Under a Regime-Switching Model
Cites Work