IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v29y2001i2p257-269.html
   My bibliography  Save this article

The reset decision for segregated fund maturity guarantees

Author

Listed:
  • Armstrong, Michael J.

Abstract

No abstract is available for this item.

Suggested Citation

  • Armstrong, Michael J., 2001. "The reset decision for segregated fund maturity guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 257-269, October.
    • Handle: RePEc:eee:insuma:v:29:y:2001:i:2:p:257-269
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-6687(01)00086-5
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Gerber, Hans U. & Shiu, Elias S. W., 1999. "From ruin theory to pricing reset guarantees and perpetual put options," Insurance: Mathematics and Economics, Elsevier, vol. 24(1-2), pages 3-14, March.
    2. Corwin Joy & Phelim P. Boyle & Ken Seng Tan, 1996. "Quasi-Monte Carlo Methods in Numerical Finance," Management Science, INFORMS, vol. 42(6), pages 926-938, June.
    3. Boyle, Phelim P. & Hardy, Mary R., 1997. "Reserving for maturity guarantees: Two approaches," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 113-127, November.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gan, Guojun, 2013. "Application of data clustering and machine learning in variable annuity valuation," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 795-801.
    2. Xu, Wei & Chen, Yuehuan & Coleman, Conrad & Coleman, Thomas F., 2018. "Moment matching machine learning methods for risk management of large variable annuity portfolios," Journal of Economic Dynamics and Control, Elsevier, vol. 87(C), pages 1-20.
    3. Daniel Doyle & Chris Groendyke, 2018. "Using Neural Networks to Price and Hedge Variable Annuity Guarantees," Risks, MDPI, vol. 7(1), pages 1-19, December.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Windcliff, H. & Forsyth, P. A. & Vetzal, K. R., 2001. "Valuation of segregated funds: shout options with maturity extensions," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 1-21, August.
    2. Gao, Huan & Mamon, Rogemar & Liu, Xiaoming & Tenyakov, Anton, 2015. "Mortality modelling with regime-switching for the valuation of a guaranteed annuity option," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 108-120.
    3. David Heath & Eckhard Platen, 2002. "A variance reduction technique based on integral representations," Quantitative Finance, Taylor & Francis Journals, vol. 2(5), pages 362-369.
    4. Okten, Giray & Eastman, Warren, 2004. "Randomized quasi-Monte Carlo methods in pricing securities," Journal of Economic Dynamics and Control, Elsevier, vol. 28(12), pages 2399-2426, December.
    5. Jacob Lundgren & Yuri Shpolyanskiy, 2017. "Approaches to Asian Option Pricing with Discrete Dividends," Papers 1702.00994, arXiv.org, revised Mar 2021.
    6. Gan, Guojun & Lin, X. Sheldon, 2015. "Valuation of large variable annuity portfolios under nested simulation: A functional data approach," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 138-150.
    7. Lu, Ziqiang & Zhu, Yuanguo & Li, Bo, 2019. "Critical value-based Asian option pricing model for uncertain financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 694-703.
    8. Cheng, Shixue & Gerber, Hans U. & Shiu, Elias S. W., 2000. "Discounted probabilities and ruin theory in the compound binomial model," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 239-250, May.
    9. Genz, Alan, 1998. "Stochastic methods for multiple integrals over unbounded regions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 47(2), pages 287-298.
    10. Klusik Przemyslaw, 2014. "Hedging of equity-linked with maximal success factor," Papers 1405.0732, arXiv.org.
    11. Tak Kuen Siu & Robert J. Elliott, 2019. "Hedging Options In A Doubly Markov-Modulated Financial Market Via Stochastic Flows," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(08), pages 1-41, December.
    12. Tan, Ken Seng & Boyle, Phelim P., 2000. "Applications of randomized low discrepancy sequences to the valuation of complex securities," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1747-1782, October.
    13. Manuel Moreno & Javier F. Navas, 2008. "Australian Options," Australian Journal of Management, Australian School of Business, vol. 33(1), pages 69-93, June.
    14. Chiu, S. N. & Yin, C. C., 2003. "The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 59-66, August.
    15. Nelson Areal & Artur Rodrigues & Manuel Armada, 2008. "On improving the least squares Monte Carlo option valuation method," Review of Derivatives Research, Springer, vol. 11(1), pages 119-151, March.
    16. Xiaoqun Wang & Ian H. Sloan, 2011. "Quasi-Monte Carlo Methods in Financial Engineering: An Equivalence Principle and Dimension Reduction," Operations Research, INFORMS, vol. 59(1), pages 80-95, February.
    17. Moshe Arye Milevsky & Steven E. Posner, 1999. "Asian Options, The Sum Of Lognormals, And The Reciprocal Gamma Distribution," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar, chapter 7, pages 203-218, World Scientific Publishing Co. Pte. Ltd..
    18. David Prieul & Vladislav Putyatin & Tarek Nassar, 2001. "On pricing and reserving with-profits life insurance contracts," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(3), pages 145-166.
    19. Guojun Gan & Emiliano A. Valdez, 2018. "Nested Stochastic Valuation of Large Variable Annuity Portfolios: Monte Carlo Simulation and Synthetic Datasets," Data, MDPI, vol. 3(3), pages 1-21, September.
    20. Jiang, Ruihong & Saunders, David & Weng, Chengguo, 2023. "Two-phase selection of representative contracts for valuation of large variable annuity portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 293-309.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:29:y:2001:i:2:p:257-269. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.