RISK ANALYSIS OF ANNUITY CONVERSION OPTIONS IN A STOCHASTIC MORTALITY ENVIRONMENT

DOI10.1017/asb.2014.7zbMath1290.91165OpenAlexW2099758260MaRDI QIDQ5419641

Jochen Ruß, Katja Schilling, Alexander Kling

Publication date: 11 June 2014

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/3bea7a4edd4ae6209400fa733800a42a98c1234b

zbMATH Keywords

financial risklongevity riskguaranteed minimum income benefitguaranteed annuity optionvaluation and risk analysis of embedded guarantees

Mathematics Subject Classification ID

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

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• A comparison of biased simulation schemes for stochastic volatility models

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