Pricing participating inflation retirement funds through option modeling and copulas

DOI10.1080/10920277.2009.10597546MaRDI QIDQ5029061zbMATH OpenOpenAlexFDO

Authors Eduardo Fraga L. de Melo, Beatriz Vaz de Melo Mendes

Publication date 11 February 2022

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2009.10597546

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A stochastic calculus model of continuous trading: Complete markets
• An equilibrium characterization of the term structure
• Bivariate option pricing using dynamic copula models
• Hedging guarantees in variable annuities under both equity and interest rate risks
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• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Pricing and hedging guaranteed annuity options via static option replication.
• Pricing and hedging guaranteed returns on mix funds
• Pricing rate of return guarantees in a Heath-Jarrow-Morton framework
• Reserving for maturity guarantees: Two approaches
• Risk-neutral valuation of participating life insurance contracts
• Some Applications of Lévy Processes to Stochastic Investment Models for Actuarial Use
• The pricing of options and corporate liabilities
• Valuation of guaranteed annuity conversion options.

Cited in

(1)

• Sustainability of participation in collective pension schemes: an option pricing approach

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