Analyzing the interest rate risk of equity-indexed annuities via scenario matrices
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Cites work
- A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans
- An improved Markov chain approximation methodology: derivatives pricing and model calibration
- Applications of the central limit theorem for pricing cliquet-style options
- Cliquet-style return guarantees in a regime switching Lévy model
- Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
- Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
- Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
- Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios
- Fair valuation of insurance contracts under Lévy process specifications
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
- scientific article; zbMATH DE number 1577097 (Why is no real title available?)
- scientific article; zbMATH DE number 5546942 (Why is no real title available?)
- scientific article; zbMATH DE number 4009444 (Why is no real title available?)
- Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation
- Market value of life insurance contracts under stochastic interest rates and default risk
- OPTIMAL ASSET ALLOCATION IN LIFE INSURANCE: THE IMPACT OF REGULATION
- Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
- Pricing and hedging of cliquet options and locally capped contracts
- Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
- Pricing annuity guarantees under a double regime-switching model
- Pricing of Ratchet equity-indexed annuities under stochastic interest rates
- Pricing rate of return guarantees in a Heath-Jarrow-Morton framework
- Pricing variable annuity guarantees in a local volatility framework
- Randomization and the valuation of guaranteed minimum death benefits
- Risk analysis and valuation of life insurance contracts: combining actuarial and financial approaches
- Risk measure and fair valuation of an investment guarantee in life insurance
- Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment
- Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
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