Pricing rate of return guarantees in regular premium unit linked insurance

DOI10.1016/J.INSMATHECO.2004.07.003zbMATH Open1103.91049OpenAlexW2103010007MaRDI QIDQ704417FDOQ704417

Authors: David F. Schrager, Antoon Pelsser 

Publication date: 13 January 2005

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.07.003

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zbMATH Keywords

LIBOR market modelAverage rate optionConvexity correctionReturn guarantee

Mathematics Subject Classification ID

Cites Work

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• Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis
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• Equity-linked life insurance: A model with stochastic interest rates
• Towards a central interest rate model
• Pricing of Asian exchange rate options under stochastic interest rates as a sum of options
• Title not available (Why is that?)
• Pricing equity-linked life insurance with endogenous minimum guarantees
• The pricing of Asian options under stochastic interest rates
• On the information in the interest rate term structure and option prices

Cited In (14)

• Pricing of multi-period rate of return guarantees.
• Analytical pricing of the unit-linked endowment with guarantees and periodic premiums
• Cross-hedging minimum return guarantees: basis and liquidity risks
• Affine stochastic mortality
• Analytical approximations for prices of swap rate dependent embedded options in insurance products
• Pricing variable annuity guarantees in a local volatility framework
• Pricing of multi-period rate of return guarantees: the Monte Carlo approach
• Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models
• Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
• Valuation of guaranteed unit linked contracts
• Equity-linked pension schemes with guarantees
• Pricing and hedging guaranteed returns on mix funds
• PRICING PARTICIPATING POLICIES WITH RATE GUARANTEES
• Valuation of the interest rate guarantee embedded in defined contribution pension plans

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