A comonotonicity-based valuation method for guaranteed annuity options

DOI10.1016/j.cam.2013.02.013zbMath1285.91130OpenAlexW2055154391MaRDI QIDQ2448346

Huan Gao, Xiaoming Liu, Rogemar S. Mamon

Publication date: 30 April 2014

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2013.02.013

zbMATH Keywords

interest rate riskcomonotonicitymortality risknuméraire changeguaranteed annuity option (GAO)annuity-linked derivatives

Mathematics Subject Classification ID

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

Related Items (12)

Polynomial diffusion models for life insurance liabilities ⋮ The role of the dependence between mortality and interest rates when pricing guaranteed annuity options ⋮ Convex bound approximations for sums of random variables under multivariate log-generalized hyperbolic distribution and asymptotic equivalences ⋮ Valuing guaranteed minimum accumulation benefits by a change of numéraire approach ⋮ An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks ⋮ Pricing a guaranteed annuity option under correlated and regime-switching risk factors ⋮ Risk measurement of a guaranteed annuity option under a stochastic modelling framework ⋮ Mortality modelling with regime-switching for the valuation of a guaranteed annuity option ⋮ A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach ⋮ Annuity contract valuation under dependent risks ⋮ The Valuation of a Guaranteed Minimum Maturity Benefit under a Regime-Switching Framework ⋮ Variable annuity pricing, valuation, and risk management: a survey

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