How sensitive is the pricing of lookback and interest rate guarantees when changing the modelling assumptions?

DOI10.1016/J.INSMATHECO.2015.08.004MaRDI QIDQ896747zbMATH OpenOpenAlexFDO

Authors Carolina Orozco-Garcia, Hato Schmeiser

Publication date 14 December 2015

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2015.08.004

zbMATH Keywords

sensitivity analysisriskunit-linked life insuranceinterest rate guaranteelookback guarantee

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• A jump-diffusion model for option pricing
• Estimating Security Price Derivatives Using Simulation
• Estimating the dimension of a model
• Financial Modelling with Jump Processes
• Maximum likelihood estimation of the double exponential jump-diffusion process
• Monte Carlo methods for security pricing
• Option pricing when underlying stock returns are discontinuous
• Pricing Lookback Options and Dynamic Guarantees
• Pricing equity-indexed annuities with path-dependent options.
• Pricing equity-linked life insurance with endogenous minimum guarantees
• Sensitivity analysis for Monte Carlo simulation of option pricing
• The pricing of options and corporate liabilities

Cited in

(1)

• Valuation of guaranteed unitized participating life insurance under MEGB2 distribution

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