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

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

Antoon Pelsser, Richard Plat, Alexander van Haastrecht

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 volatility; stochastic interest rates; variable annuities; guaranteed annuity option (GAO); guaranteed minimum income benefit (GMIB)

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

91B70: Stochastic models in economics

91G30: Interest rates, asset pricing, etc. (stochastic models)

Related Items

Valuing variable annuity guarantees on multiple assets, Valuing inflation-linked death benefits under a stochastic volatility framework, Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates, Pricing variable annuity guarantees in a local volatility framework, Analytical calculation of risk measures for variable annuity guaranteed benefits, Pricing range notes within Wishart affine models

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