Cliquet-style return guarantees in a regime switching Lévy model
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Publication:506080
DOI10.1016/J.INSMATHECO.2016.11.009zbMATH Open1394.91219OpenAlexW2477209055MaRDI QIDQ506080FDOQ506080
Authors: Peter Hieber 
Publication date: 31 January 2017
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.11.009
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regime switchingannual guaranteecliquet-style guaranteeFourier pricinginsurance contractsRatchet-type guaranteeLévy model
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
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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
- Analyzing the interest rate risk of equity-indexed annuities via scenario matrices
- European option pricing with market frictions, regime switches and model uncertainty
- Pricing and hedging defaultable participating contracts with regime switching and jump risk
- Efficient valuation of variable annuities under regime-switching jump diffusion models with surrender risk and mortality risk
- The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk
- Cliquet option pricing in a jump-diffusion Lévy model
- Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy
- Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models
- Valuation of cliquet-style guarantees with death benefits
- Efficient simulation and valuation of equity-indexed annuities under a two-factor G2++ model
- Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
- 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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