How sensitive is the pricing of lookback and interest rate guarantees when changing the modelling assumptions?

DOI10.1016/J.INSMATHECO.2015.08.004zbMath1348.91294OpenAlexW2215031064MaRDI QIDQ896747

Carolina Orozco-Garcia, Hato Schmeiser

Publication date: 14 December 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.08.004

zbMATH Keywords

sensitivity analysisriskunit-linked life insuranceinterest rate guaranteelookback guarantee

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Valuation of guaranteed unitized participating life insurance under MEGB2 distribution

Cites Work

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• Estimating Security Price Derivatives Using Simulation
• Financial Modelling with Jump Processes
• Option pricing when underlying stock returns are discontinuous
• Pricing Lookback Options and Dynamic Guarantees

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