Analyzing the interest rate risk of equity-indexed annuities via scenario matrices
From MaRDI portal
Publication:6152703
DOI10.1016/j.insmatheco.2023.10.003OpenAlexW4388486860MaRDI QIDQ6152703
Publication date: 13 February 2024
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2023.10.003
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Cliquet-style return guarantees in a regime switching Lévy model
- Market value of life insurance contracts under stochastic interest rates and default risk
- Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment
- Fair valuation of insurance contracts under Lévy process specifications
- Applications of the central limit theorem for pricing cliquet-style options
- Pricing rate of return guarantees in a Heath-Jarrow-Morton framework
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Pricing variable annuity guarantees in a local volatility framework
- Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation
- Risk analysis and valuation of life insurance contracts: combining actuarial and financial approaches
- Pricing annuity guarantees under a double regime-switching model
- Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
- A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans
- Pricing of Ratchet equity-indexed annuities under stochastic interest rates
- Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
- Risk measure and fair valuation of an investment guarantee in life insurance
- Pricing and Hedging of Cliquet Options and Locally Capped Contracts
- AN IMPROVED MARKOV CHAIN APPROXIMATION METHODOLOGY: DERIVATIVES PRICING AND MODEL CALIBRATION
- Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
- Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
- OPTIMAL ASSET ALLOCATION IN LIFE INSURANCE: THE IMPACT OF REGULATION
- Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
- Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios
- Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
- Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
- Randomization and the valuation of guaranteed minimum death benefits
