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

DOI10.1016/J.INSMATHECO.2015.08.004zbMATH Open1348.91294OpenAlexW2215031064MaRDI QIDQ896747FDOQ896747

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

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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)

Cites Work

• The pricing of options and corporate liabilities
• A jump-diffusion model for option pricing
• Estimating the dimension of a model
• Title not available (Why is that?)
• Financial Modelling with Jump Processes
• Pricing Lookback Options and Dynamic Guarantees
• Option pricing when underlying stock returns are discontinuous
• Monte Carlo methods for security pricing
• Maximum likelihood estimation of the double exponential jump-diffusion process
• Pricing equity-indexed annuities with path-dependent options.
• Estimating Security Price Derivatives Using Simulation
• Pricing equity-linked life insurance with endogenous minimum guarantees
• Sensitivity analysis for Monte Carlo simulation of option pricing

Cited In (1)

• Valuation of guaranteed unitized participating life insurance under MEGB2 distribution

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