Valuation of guaranteed annuity options using a stochastic volatility model for equity prices

DOI10.1016/j.insmatheco.2010.06.007zbMath1231.91490OpenAlexW2148066427MaRDI QIDQ661249

Richard Plat, Alexander van Haastrecht, Antoon Pelsser

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.06.007

zbMATH Keywords

stochastic volatilitystochastic interest ratesvariable annuitiesguaranteed annuity option (GAO)guaranteed minimum income benefit (GMIB)

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (9)

Valuing inflation-linked death benefits under a stochastic volatility framework ⋮ Valuing variable annuity guarantees on multiple assets ⋮ Hedging longevity risk in defined contribution pension schemes ⋮ Analytical calculation of risk measures for variable annuity guaranteed benefits ⋮ Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates ⋮ Pricing variable annuity guarantees in a local volatility framework ⋮ Pricing range notes within Wishart affine models ⋮ Variable annuity with a surrender option under multiscale stochastic volatility ⋮ Variable annuity pricing, valuation, and risk management: a survey

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