An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks

DOI10.1016/j.insmatheco.2017.09.001zbMath1398.91359OpenAlexW2767346769MaRDI QIDQ1697208

Yixing Zhao, Rogemar S. Mamon

Publication date: 15 February 2018

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.09.001

zbMATH Keywords

comonotonicitychange of probability measureannuity-linked derivativesCIR interest-rate modelLee-Carter mortality model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation ⋮ Pricing guaranteed annuity options in a linear-rational Wishart mortality model ⋮ Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods ⋮ Annuity contract valuation under dependent risks ⋮ Variable annuity pricing, valuation, and risk management: a survey

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