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Valuation of guaranteed annuity options using a stochastic volatility model for equity prices

van Haastrecht, Alexander; Plat, Richard; Pelsser, … - In: Insurance / Mathematics & economics 47 (2010) 3, pp. 266-277

Persistent link: https://www.econbiz.de/10008747073

Valuation of finance/insurance contracts : efficient hedging and stochastic interest rates modeling

Melnikov, Alexander; Tong, Shuo - In: Risk and decision analysis 5 (2014) 1, pp. 23-41

Persistent link: https://www.econbiz.de/10010492598

The time of deducting fees for variable annuities under the state-dependent fee structure

Zhou, Jiang; Wu, Lan - In: Insurance / Mathematics & economics 61 (2015), pp. 125-134

Persistent link: https://www.econbiz.de/10010515907

Max-min optimization problem for variable annuities pricing

Blanchet-Scalliet, Christophette; Chevalier, Etienne; … - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-35

Persistent link: https://www.econbiz.de/10011419373

Evaluation of variable annuity guarantees with the effect of jumps in the asset price process

Juma, Mussa; Lee, Min Cherng; Chin, Seong Tah; Liew, … - In: Cogent economics & finance 5 (2017) 1, pp. 1-17

Financial crisis in 2007–2008 have caused losses to life insurance companies issuing variable annuities with guarantees. This is partly due to failure of variable annuity (VA) issuers to anticipate the large variations in asset prices during the financial crisis times in their pricing...

Persistent link: https://www.econbiz.de/10011881290

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

Deelstra, Griselda; Grasselli, Martino; Van Weverberg, … - In: Insurance / Mathematics & economics 71 (2016), pp. 205-219

Persistent link: https://www.econbiz.de/10011630651

Valuing inflation-linked death benefits under a stochastic volatility framework

Liang, Zongxia; Sheng, Wenlong - In: Insurance / Mathematics & economics 69 (2016), pp. 45-58

Persistent link: https://www.econbiz.de/10011530922

Valuation of Guaranteed Annuity Options Using a Stochastic Volatility Model for Equity Prices

van Haastrecht, Alexander - 2010

. The last decade the literature on pricing and risk management of these options evolved. Until now, for pricing these …

Persistent link: https://www.econbiz.de/10013138527

Valuation of Guaranteed Annuity Options Using a Stochastic Volatility Model for Equity Prices

van Haastrecht, Alexander - 2009

. The last decennium the literature on pricing and risk management of these options evolved. Until now, for pricing these …

Persistent link: https://www.econbiz.de/10013157198

Fourier based methods for the management of complex life insurance products

Ballotta, Laura; Eberlein, Ernst; Schmidt, Thorsten; … - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 320-341

Persistent link: https://www.econbiz.de/10012793930