Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model

DOI10.1016/j.insmatheco.2009.07.008zbMath1231.91167OpenAlexW2048789479MaRDI QIDQ659140

Marcellino Gaudenzi, Antonino Zanette, Massimo Costabile, Ivar Massabò

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.07.008

zbMATH Keywords

surrender optionbivariate modelequity-linked policies

Mathematics Subject Classification ID

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

Related Items (8)

Computing finite-time survival probabilities using multinomial approximations of risk models ⋮ A bivariate model for evaluating equity-linked policies with surrender option ⋮ Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method ⋮ Equity-linked pension schemes with guarantees ⋮ A lattice approach to evaluate participating policies in a stochastic interest rate framework ⋮ Convergence Rate of Markov Chains and Hybrid Numerical Schemes to Jump-Diffusion with Application to the Bates Model ⋮ Optimal prepayment and default rules for mortgage-backed securities ⋮ Application of data clustering and machine learning in variable annuity valuation

Cites Work

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• Pricing of Unit-linked Life Insurance Policies
• CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS¹
• The singular points binominal method for pricing American path-dependent options
• Option pricing: A simplified approach

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