Valuation of Equity-Linked Insurance and Annuity Products with Binomial Models

DOI10.1080/10920277.2006.10597417zbMath1480.91204OpenAlexW2032078409MaRDI QIDQ5018739

X. Sheldon Lin, Patrice Gaillardetz

Publication date: 22 December 2021

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2006.10597417

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Actuarial mathematics (91G05)

Related Items (4)

Gram-Charlier processes and applications to option pricing ⋮ A hidden Markov regime-switching model for option valuation ⋮ Valuation of life insurance products under stochastic interest rates ⋮ Application of data clustering and machine learning in variable annuity valuation

Cites Work

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• On the minimal martingale measure and the möllmer-schweizer decomposition
• Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
• Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
• Valuing Equity-Indexed Annuities
• Hedging Equity-Linked Life Insurance Contracts
• Understanding Relationships Using Copulas

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