Pricing Dynamic Investment Fund Protection

DOI10.1080/10920277.2000.10595894zbMath1083.91516OpenAlexW2068457428MaRDI QIDQ5718086

Hans U. Gerber, Gérard Pafumi

Publication date: 13 January 2006

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

Full work available at URL: https://doi.org/10.1080/10920277.2000.10595894

Mathematics Subject Classification ID

Related Items (24)

Dynamic Fund Protection for Property Markets ⋮ Reset and withdrawal rights in dynamic fund protection ⋮ Pricing dynamic fund protections with regime switching ⋮ Arbitrage problems with reflected geometric Brownian motion ⋮ Valuing equity-linked death benefits and other contingent options: a discounted density approach ⋮ Pricing maturity guarantee with dynamic withdrawal benefit ⋮ Pricing dynamic fund protections for a hyperexponential jump diffusion process ⋮ The pricing of dynamic fund protection with default risk ⋮ Pricing Lookback Options and Dynamic Guarantees ⋮ Pricing Perpetual Fund Protection with Withdrawal Option ⋮ Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends ⋮ Pricing Discrete Dynamic Fund Protections ⋮ Optimal Design of a Perpetual Equity-Indexed Annuity ⋮ Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level ⋮ Dynamic Fund Protection ⋮ Optimal portfolio management with American capital guarantee ⋮ Long-term optimal portfolios with floor ⋮ Analytic solution for American strangle options using Laplace-Carson transforms ⋮ Pricing the equity-linked and principal-protected securities with cap and path dependence ⋮ Pricing a chained dynamic fund protection under Vasicek interest rate model with stochastic barrier ⋮ Optimal surrender strategies for equity-indexed annuity investors ⋮ Protection of a Company Issuing a Certain Class of Participating Policies in a Complete Market Framework ⋮ CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES ⋮ Valuation of Discrete Dynamic Fund Protection Under Lévy Processes

Cites Work

• From ruin theory to pricing reset guarantees and perpetual put options
• Pricing Perpetual Options for Jump Processes
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