Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates

DOI10.1080/10920277.2003.10596119zbMath1084.60530OpenAlexW1581453606MaRDI QIDQ5715938

X. Sheldon Lin, Ken Seng Tan

Publication date: 5 January 2006

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

Full work available at URL: https://doi.org/10.1080/10920277.2003.10596119

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (42)

Impact of volatility clustering on equity indexed annuities ⋮ A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders ⋮ Statistical emulators for pricing and hedging longevity risk products ⋮ Valuation of annuity guarantees under a self-exciting switching jump model ⋮ Applications of central limit theorems for equity-linked insurance ⋮ Gram-Charlier processes and applications to option pricing ⋮ Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps ⋮ Valuation of contingent claims with stochastic interest rate and mortality driven by Lévy processes ⋮ Pricing and hedging equity-indexed annuities via local risk-minimization ⋮ Fourier based methods for the management of complex life insurance products ⋮ Multiscale stochastic elasticity of variance for options and equity linked annuity; a Mellin transform approach ⋮ Pricing equity-indexed annuities under stochastic interest rates using copulas ⋮ Pricing ratchet equity index annuity with mortality risk by complex Fourier series method ⋮ Equity-linked products: evaluation of the dynamic hedging errors under stochastic mortality ⋮ Analyzing the interest rate risk of equity-indexed annuities via scenario matrices ⋮ Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts ⋮ Optimal surrender strategies for equity-indexed annuity investors with partial information ⋮ Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk ⋮ A comonotonicity-based valuation method for guaranteed annuity options ⋮ Pricing of equity indexed annuity under fractional Brownian motion model ⋮ Is the home equity conversion mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform ⋮ EFFICIENT DYNAMIC HEDGING FOR LARGE VARIABLE ANNUITY PORTFOLIOS WITH MULTIPLE UNDERLYING ASSETS ⋮ Valuation of equity-indexed annuity under stochastic mortality and interest rate ⋮ A hidden Markov regime-switching model for option valuation ⋮ A dimension-reduction algorithm for the valuation of surrender options in EIA contracts with stochastic interest rates ⋮ Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks ⋮ Pricing of Ratchet equity-indexed annuities under stochastic interest rates ⋮ Cliquet-style return guarantees in a regime switching Lévy model ⋮ Optimal Design of a Perpetual Equity-Indexed Annuity ⋮ USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS ⋮ Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model ⋮ Developing Equity Release Markets: Risk Analysis for Reverse Mortgages and Home Reversions ⋮ Hedging guarantees in variable annuities under both equity and interest rate risks ⋮ Valuation of equity-indexed annuities under correlated jump-diffusion processes ⋮ Optimal surrender strategies for equity-indexed annuity investors ⋮ A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach ⋮ Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method ⋮ Lookback option pricing using the Fourier transform B-spline method ⋮ Risk-minimizing hedging strategy for an equity-indexed annuity under a regime switching model ⋮ Valuation of Equity-Linked Insurance and Annuity Products with Binomial Models ⋮ Pricing annuity guarantees under a double regime-switching model ⋮ Pricing Annuity Guarantees Under a Regime-Switching Model

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