Valuing equity-linked death benefits in jump diffusion models

DOI10.1016/j.insmatheco.2013.08.010zbMath1290.91162OpenAlexW2074007783MaRDI QIDQ2015627

Hailiang Yang, Hans U. Gerber, Elias S. W. Shiu

Publication date: 23 June 2014

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

Full work available at URL: http://hdl.handle.net/10722/198096

zbMATH Keywords

jump diffusionvariable annuitiesbarrier optionsequity-linked death benefitsexponential stopping

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (32)

Analytic valuation of GMDB options with utility based asset allocation ⋮ Impact of volatility clustering on equity indexed annuities ⋮ Closed-form solutions for guaranteed minimum accumulation and death benefits ⋮ Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options ⋮ VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK ⋮ Valuing guaranteed minimum accumulation benefits by a change of numéraire approach ⋮ First passage problems of refracted jump diffusion processes and their applications in valuing equity-linked death benefits ⋮ Occupation times of hyper-exponential jump diffusion processes with application to price step options ⋮ Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models ⋮ Pricing dynamic fund protections with regime switching ⋮ Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk ⋮ Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees ⋮ Valuing guaranteed equity-linked contracts by Laguerre series expansion ⋮ An overview of exact solution methods for guaranteed minimum death benefit options in variable annuities ⋮ Randomization and the valuation of guaranteed minimum death benefits ⋮ Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees ⋮ A factorization of a Lévy process over a phase-type horizon ⋮ Equity-linked guaranteed minimum death benefits with dollar cost averaging ⋮ Pricing dynamic fund protections for a hyperexponential jump diffusion process ⋮ Geometric stopping of a random walk and its applications to valuing equity-linked death benefits ⋮ Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon ⋮ Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model ⋮ Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality ⋮ Pricing some life-contingent lookback options under regime-switching Lévy models ⋮ A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes ⋮ Valuation of cliquet-style guarantees with death benefits ⋮ Valuing equity-linked death benefits in general exponential Lévy models ⋮ Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model ⋮ Valuing equity-linked death benefits with a threshold expense strategy ⋮ Valuation of large variable annuity portfolios under nested simulation: a functional data approach ⋮ The time of deducting fees for variable annuities under the state-dependent fee structure ⋮ Variable annuity pricing, valuation, and risk management: a survey

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