Pricing equity-indexed annuities under stochastic interest rates using copulas

DOI10.1155/2010/726389zbMath1200.91137OpenAlexW2025996078WikidataQ58652680 ScholiaQ58652680MaRDI QIDQ609713

Patrice Gaillardetz

Publication date: 1 December 2010

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/228637

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

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• Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
• Market-Consistent Actuarial Valuation
• Option pricing: A simplified approach
• Introductory Stochastic Analysis for Finance and Insurance
• Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
• Valuing Equity-Indexed Annuities
• Understanding Relationships Using Copulas

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