Valuing Equity-Indexed Annuities

DOI10.1080/10920277.2000.10595945zbMath1083.62545OpenAlexW2296644397MaRDI QIDQ5718140

Serena Tiong

Publication date: 13 January 2006

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

Full work available at URL: https://doi.org/10.1080/10920277.2000.10595945

Mathematics Subject Classification ID

Related Items (54)

Pricing two-asset alternating barrier options with icicles and their variations ⋮ Impact of volatility clustering on equity indexed annuities ⋮ Pricing Equity-indexed Annuities When Discrete Dividends Follow a Markov-Modulated Jump Diffusion Model ⋮ Valuation of Equity-indexed Annuities with Stochastic Interest Rate and Jump Diffusion ⋮ Applications of central limit theorems for equity-linked insurance ⋮ Valuing equity-indexed annuities with icicled barrier options ⋮ Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps ⋮ Pricing and hedging equity-indexed annuities via local risk-minimization ⋮ Reset and withdrawal rights in dynamic fund protection ⋮ Equity-linked annuities with multiscale hybrid stochastic and local volatility ⋮ Multiscale stochastic elasticity of variance for options and equity linked annuity; a Mellin transform approach ⋮ Pricing equity-linked pure endowments with risky assets that follow Lévy processes ⋮ 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 life insurance based on traditional products: the case of select products ⋮ Equity-linked products: evaluation of the dynamic hedging errors under stochastic mortality ⋮ 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 ⋮ Pricing equity-linked pure endowments via the principle of equivalent utility. ⋮ Pricing equity-indexed annuities with path-dependent options. ⋮ Partial Hedging for Equity-Linked Products Using Risk-Minimizing Strategies ⋮ Valuing equity-linked death benefits and other contingent options: a discounted density approach ⋮ Pricing EIA with cliquet-style guarantees under time-changed Lévy models by frame duality projection ⋮ Pricing of equity indexed annuity under fractional Brownian motion model ⋮ Valuation of equity-indexed annuity under stochastic mortality and interest rate ⋮ A dimension-reduction algorithm for the valuation of surrender options in EIA contracts with stochastic interest rates ⋮ Equity-linked guaranteed minimum death benefits with dollar cost averaging ⋮ Geometric stopping of a random walk and its applications to valuing equity-linked death benefits ⋮ Pricing of Ratchet equity-indexed annuities under stochastic interest rates ⋮ The pricing of dynamic fund protection with default risk ⋮ Pricing Lookback Options and Dynamic Guarantees ⋮ Equity-Indexed Life Insurance: Pricing and Reserving Using the Principle of Equivalent Utility ⋮ Pricing Perpetual Fund Protection with Withdrawal Option ⋮ Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option ⋮ Pricing Discrete Dynamic Fund Protections ⋮ “Pricing Lookback Options and Dynamic Guarantees,” Hans U. Gerber and Elias S. W. Shiu, January 2003 ⋮ Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates ⋮ Optimal Design of a Perpetual Equity-Indexed Annuity ⋮ “Pricing Dynamic Investment Fund Protection,” Hans U. Gerber and Gérard Pafumi, April 2000 ⋮ Dynamic Fund Protection ⋮ PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE ⋮ Valuation of equity-indexed annuities under correlated jump-diffusion processes ⋮ Optimal surrender strategies for equity-indexed annuity investors ⋮ The design of equity-indexed annuities ⋮ Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality ⋮ Optimal design of equity-linked products with a probabilistic constraint ⋮ Valuation of guaranteed unitized participating life insurance under MEGB2 distribution ⋮ Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method ⋮ Valuation of cliquet-style guarantees with death benefits ⋮ 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 ⋮ Optimal stopping behavior of equity-linked investment products with regime switching

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Risk-neutral valuation: Pricing and hedging of financial derivatives
• Actuarial bridges to dynamic hedging and option pricing

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