Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model

DOI10.1080/10920277.2013.826126zbMath1412.91058OpenAlexW1968141636MaRDI QIDQ5742647

Xiao Wei, Marcellino Gaudenzi, Antonino Zanette

Publication date: 15 May 2019

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

Full work available at URL: https://hal.inria.fr/hal-00721963/file/RR-8034.pdf

zbMATH Keywords

asymptotic expansionCIR\(++\) stochastic interest ratesratchet equity-indexed annuities

Mathematics Subject Classification ID

Related Items (4)

Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method ⋮ Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes ⋮ Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk ⋮ American options and stochastic interest rates

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