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Pricing Variable Annuity Guarantees in a local volatility framework

Deelstra, Griselda; Rayée, Grégory - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 650-663

In this paper, we study the price of Variable Annuity Guarantees, particularly those of Guaranteed Annuity Options (GAO) and Guaranteed Minimum Income Benefit (GMIB), in the settings of a derivative pricing model where the underlying spot (the fund) is locally governed by a geometric Brownian...

Persistent link: https://www.econbiz.de/10010719086

The IASB Insurance Project for life insurance contracts: Impact on reserving methods and solvency requirements

Ballotta, Laura; Esposito, Giorgia; Haberman, Steven - In: Insurance: Mathematics and Economics 39 (2006) 3, pp. 356-375

Persistent link: https://www.econbiz.de/10005375378

Valuation of guaranteed annuity conversion options

Ballotta, Laura; Haberman, Steven - In: Insurance: Mathematics and Economics 33 (2003) 1, pp. 87-108

Persistent link: https://www.econbiz.de/10005375505

The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case

Ballotta, Laura; Haberman, Steven - In: Insurance: Mathematics and Economics 38 (2006) 1, pp. 195-214

Persistent link: https://www.econbiz.de/10005380571

A Lévy process-based framework for the fair valuation of participating life insurance contracts

Ballotta, Laura - In: Insurance: Mathematics and Economics 37 (2005) 2, pp. 173-196

Persistent link: https://www.econbiz.de/10004973644