Cliquet-style return guarantees in a regime switching Lévy model
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Cites work
- scientific article; zbMATH DE number 1466110 (Why is no real title available?)
- A Lévy process-based framework for the fair valuation of participating life insurance contracts
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- A correction note on: ``When the `bull' meets the `bear' -- a first passage time problem for a hidden Markov process
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Analysis of Fourier transform valuation formulas and applications
- Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees
- Efficient pricing of ratchet equity indexed annuities in a Variance-Gamma economy
- Efficiently pricing barrier options in a Markov-switching framework
- Fair valuation of insurance contracts under Lévy process specifications
- Fair valuation of participating policies with surrender options and regime switching
- Financial Modelling with Jump Processes
- First passage times of a jump diffusion process
- First-passage times of regime switching models
- Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
- Market value of life insurance contracts under stochastic interest rates and default risk
- Minimum Rate of Return Guarantees: The Danish Case
- On perpetual American put valuation and first-passage in a regime-switching model with jumps
- On pricing barrier options with regime switching
- Option pricing and Esscher transform under regime switching
- Pricing and hedging of cliquet options and locally capped contracts
- Pricing annuity guarantees under a double regime-switching model
- Pricing annuity guarantees under a regime-switching model
- Pricing exotic options under regime switching
- Pricing of Ratchet equity-indexed annuities under stochastic interest rates
- Pricing variable annuity guarantees in a local volatility framework
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- Risk measure and fair valuation of an investment guarantee in life insurance
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- Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
- When the ``bull meets the ``bear: A first passage time problem for a hidden Markov process
Cited in
(18)- FIRST PASSAGE TIME UNDER A REGIME-SWITCHING JUMP-DIFFUSION MODEL AND ITS APPLICATION IN THE VALUATION OF PARTICIPATING CONTRACTS
- Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model
- Randomization and the valuation of guaranteed minimum death benefits
- Pricing and hedging defaultable participating contracts with regime switching and jump risk
- Analyzing the interest rate risk of equity-indexed annuities via scenario matrices
- European option pricing with market frictions, regime switches and model uncertainty
- The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk
- Efficient valuation of variable annuities under regime-switching jump diffusion models with surrender risk and mortality risk
- Cliquet option pricing in a jump-diffusion Lévy model
- Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy
- Valuation of cliquet-style guarantees with death benefits
- Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models
- Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
- Efficient simulation and valuation of equity-indexed annuities under a two-factor G2++ model
- Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
- Pricing EIA with cliquet-style guarantees under time-changed Lévy models by frame duality projection
- Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios
- Multivariate models of equity returns for investment guarantees valuation
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