Pricing a guaranteed annuity option under correlated and regime-switching risk factors
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Publication:903675
DOI10.1007/S13385-015-0118-3zbMATH Open1329.91062OpenAlexW1626940079MaRDI QIDQ903675FDOQ903675
Authors: Huan Gao, Rogemar Mamon, Xiaoming Liu 
Publication date: 15 January 2016
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13385-015-0118-3
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Cites Work
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Cited In (20)
- Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing
- The valuation of a guaranteed minimum maturity benefit under a regime-switching framework
- Pricing and hedging guaranteed annuity options via static option replication.
- The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
- Pricing pension buy-outs under stochastic interest and mortality rates
- Bond pricing formulas for Markov-modulated affine term structure models
- Pricing variable annuity guarantees in a local volatility framework
- A comonotonicity-based valuation method for guaranteed annuity options
- A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach
- Valuing guaranteed minimum accumulation benefits by a change of numéraire approach
- Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance
- Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process
- Mortality modelling with regime-switching for the valuation of a guaranteed annuity option
- Pricing guaranteed annuity options in a linear-rational Wishart mortality model
- VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS
- Risk measurement of a guaranteed annuity option under a stochastic modelling framework
- An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks
- Annuity contract valuation under dependent risks
- Valuation of mixed life insurance contracts under stochastic correlated mortality and interest rates
- Pricing annuity guarantees under a double regime-switching model
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