Valuation of Equity-indexed Annuities with Stochastic Interest Rate and Jump Diffusion

DOI10.1080/03610926.2012.690488zbMath1297.91140OpenAlexW2072006606MaRDI QIDQ2921838

Rong-Ming Wang, Qian Zhao, Lin-Yi Qian

Publication date: 14 October 2014

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2012.690488

zbMATH Keywords

stochastic interest ratecompound Poisson processequity-indexed annuity

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items

Valuation of equity-indexed annuities under correlated jump-diffusion processes

Cites Work

• Unnamed Item
• Valuation of equity-indexed annuity under stochastic mortality and interest rate
• Optimal surrender strategies for equity-indexed annuity investors
• Pricing equity-indexed annuities with path-dependent options.
• Pricing of Ratchet equity-indexed annuities under stochastic interest rates
• Catastrophe options with stochastic interest rates and compound Poisson losses
• The design of equity-indexed annuities
• Pricing of Unit-linked Life Insurance Policies
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Nonparametric Pricing of Interest Rate Derivative Securities
• Pricing Lookback Options and Dynamic Guarantees
• Valuing Equity-Indexed Annuities