The role of the dependence between mortality and interest rates when pricing guaranteed annuity options

Griselda Deelstra, Martino Grasselli, Christopher Van Weverberg

Year of publication:	November 2016
Authors:	Deelstra, Griselda ; Grasselli, Martino ; Van Weverberg, Christopher
Published in:	Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 71.2016, p. 205-219
Subject:	Stochastic mortality \| Affine interest rate models \| Dependence \| Guaranteed Annuity Options \| Wishart process \| Sterblichkeit \| Mortality \| Zins \| Interest rate \| Lebensversicherung \| Life insurance \| Stochastischer Prozess \| Stochastic process \| Optionspreistheorie \| Option pricing theory \| Zinsstruktur \| Yield curve \| Kapitaleinkommen \| Capital income

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