Pricing rate of return guarantees in a Heath-Jarrow-Morton framework
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Publication:1974032
DOI10.1016/S0167-6687(99)00020-7zbMath1028.91566MaRDI QIDQ1974032
Svein-Arne Persson, Kristian R. Miltersen
Publication date: 8 May 2000
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
maturity guaranteesstochastic interest ratesinterest rate guaranteesHeath-Jarrow-Morton term structure modelmulti-period guarantees
Related Items (20)
The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees ⋮ Analyzing the interest rate risk of equity-indexed annuities via scenario matrices ⋮ Pricing of multi-period rate of return guarantees. ⋮ Pricing and hedging guaranteed annuity options via static option replication. ⋮ Valuation of life insurance surrender and exchange options ⋮ Valuation of the interest rate guarantee embedded in defined contribution pension plans ⋮ Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment ⋮ Evaluation of insurance products with guarantee in incomplete markets ⋮ Asset and liability modelling for participating policies with guarantees ⋮ Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: a stochastic programming approach ⋮ Hedging guarantees in variable annuities under both equity and interest rate risks ⋮ Pricing of multi-period rate of return guarantees: the Monte Carlo approach ⋮ The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case ⋮ Valuation and hedging of participating life-insurance policies under management discretion ⋮ Interest Guarantees in Banking ⋮ On accounting standards and fair valuation of life insurance and pension liabilities ⋮ Guaranteed Investment Contracts: Distributed and Undistributed Excess Return ⋮ UTILITY INDIFFERENCE PRICING OF INTEREST-RATE GUARANTEES ⋮ A Monte Carlo approach for the American put under stochastic interest rates ⋮ Pricing Participating Inflation Retirement Funds Through Option Modeling and Copulas
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