Pricing rate of return guarantees in regular premium unit linked insurance

DOI10.1016/j.insmatheco.2004.07.003zbMath1103.91049OpenAlexW2103010007MaRDI QIDQ704417

David F. Schrager, Antoon Pelsser

Publication date: 13 January 2005

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.07.003

zbMATH Keywords

LIBOR market modelAverage rate optionConvexity correctionReturn guarantee

Mathematics Subject Classification ID

Related Items

Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models ⋮ Equity-linked pension schemes with guarantees ⋮ Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility ⋮ Valuation of the interest rate guarantee embedded in defined contribution pension plans ⋮ Cross-hedging minimum return guarantees: basis and liquidity risks ⋮ Pricing variable annuity guarantees in a local volatility framework ⋮ Pricing and hedging guaranteed returns on mix funds ⋮ Affine stochastic mortality ⋮ Analytical approximations for prices of swap rate dependent embedded options in insurance products

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