Pricing Annuity Guarantees Under a Regime-Switching Model

DOI10.1080/10920277.2009.10597557zbMath1483.91201OpenAlexW2542230831MaRDI QIDQ5029071

Ken Seng Tan, X. Sheldon Lin, Hailiang Yang

Publication date: 11 February 2022

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

Full work available at URL: https://doi.org/10.1080/10920277.2009.10597557

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Related Items (29)

Semi-static hedging of variable annuities ⋮ Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching ⋮ Valuation of annuity guarantees under a self-exciting switching jump model ⋮ Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance ⋮ Moment matching machine learning methods for risk management of large variable annuity portfolios ⋮ Hedging Costs for Variable Annuities Under Regime-Switching ⋮ Pricing and hedging equity-indexed annuities via local risk-minimization ⋮ A generalized Esscher transform for option valuation with regime switching risk ⋮ Valuing variable annuity guarantees on multiple assets ⋮ Mortality regimes and longevity risk in a life annuity portfolio ⋮ Equity-linked annuities with multiscale hybrid stochastic and local volatility ⋮ Optimal fee structure of variable annuities ⋮ Pricing ratchet equity index annuity with mortality risk by complex Fourier series method ⋮ Option pricing under regime-switching models: novel approaches removing path-dependence ⋮ European option pricing with market frictions, regime switches and model uncertainty ⋮ Exact long time behavior of some regime switching stochastic processes ⋮ Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes ⋮ A comonotonicity-based valuation method for guaranteed annuity options ⋮ EFFICIENT DYNAMIC HEDGING FOR LARGE VARIABLE ANNUITY PORTFOLIOS WITH MULTIPLE UNDERLYING ASSETS ⋮ Cliquet-style return guarantees in a regime switching Lévy model ⋮ An optimal stochastic control framework for determining the cost of hedging of variable annuities ⋮ Optimal initiation of a GLWB in a variable annuity: no arbitrage approach ⋮ Variable annuities: market incompleteness and policyholder behavior ⋮ Option pricing in regime-switching frameworks with the extended Girsanov principle ⋮ HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS ⋮ Real-Time Valuation of Large Variable Annuity Portfolios: A Green Mesh Approach ⋮ Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios ⋮ Pricing and hedging defaultable participating contracts with regime switching and jump risk ⋮ Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk

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