Since Keyport Life first launched ”Key Index” in February 1995, Equity-indexed annuities are considered to be the most innovative products to appear on the market in years. EIAs are, essentially equity-linked deferred annuities which provide the policyholder with a guaranteed accumulation...

This paper presents the implementation to the class of jump diffusion models of the approach used by Boyarchenko and Levendorskii (2002) in the case of exponential Lévy models. We show that this approach is more computationally efficient than the semi closed form solutions derived by Kou...

The aim of this paper is to value EIA contracts with surrender option at a fair price in a stochastic interest rate environment. A non Gaussian model is proposed where a new process called Kou Regime Switching process is introduced to give a more realistic modelling for financial prices. A...