Analytic bounds and approximations for annuities and Asian options

DOI10.1016/J.INSMATHECO.2008.02.004MaRDI QIDQ931209zbMATH OpenOpenAlexFDO

Authors Steven Vanduffel, Zhaoning Shang, Luc Henrard, Emiliano A. Valdez, J. Dhaene

Publication date 25 June 2008

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

Full work available at URL http://dare.uva.nl/personal/pure/en/publications/analytic-bounds-and-approximations-for-annuities-and-asian-options(b02b2a08-1e30-4faf-99a9-c2953a20e2cb).html

zbMATH Keywords

Brownian motionlower boundanalyticannuityAsian optionclosed-formcontinuously sampledfixed strike

Mathematics Subject Classification ID

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Cites work

• An analytical inversion of a Laplace transform related to annuities certain
• Comparing approximations for risk measures of sums of nonindependent lognormal random variables
• Optimal approximations for risk measures of sums of lognormals based on conditional expectations
• Risk Measures and Comonotonicity: A Review
• Ruined moments in your life: how good are the approximations?
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• The concept of comonotonicity in actuarial science and finance: applications.
• The economics of insurance: a review and some recent developments
• The hurdle-race problem.
• The value of an Asian option
• Upper and lower bounds for sums of random variables
• Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price

Cited in

(15)

• An explicit option-based strategy that outperforms dollar cost averaging
• Analytical calculation of risk measures for variable annuity guaranteed benefits
• Lower convex order bound approximations for sums of log-skew normal random variables
• Bounds for sums of random variables when the marginal distributions and the variance of the sum are given
• Closed-form approximations for spread options in Lévy markets
• A provisioning problem with stochastic payments
• Discrete sums of geometric Brownian motions, annuities and Asian options
• Risk bounds for factor models
• A comonotonic approximation to optimal terminal wealth under a multivariate Merton model with correlated jump risk
• A note on Stein's lemma for multivariate elliptical distributions
• Impact of flexible periodic premiums on variable annuity guarantees
• Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
• Discussion on “Asymptotic Analysis of Multivariate Tail Conditional Expectations,” by Li Zhu and Haijun Li, Volume 16(3)
• Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models
• Analytical approximation of variable annuities for small volatility and small withdrawal

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