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Impact of volatility clustering on equity indexed annuities

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  • Hainaut, Donatien

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  • Hainaut, Donatien, 2016. "Impact of volatility clustering on equity indexed annuities," LIDAM Reprints ISBA 2016045, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2016045
    Note: In : Insurance: Mathematics and Economics, vol. 71, no.0, p. 367-381 (2016)
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    Cited by:

    1. Hainaut, Donatien & Devolder, Pierre & Pelsser, Antoon, 2018. "Robust evaluation of SCR for participating life insurances under Solvency II," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 107-123.
    2. Doan, Bao & Papageorgiou, Nicolas & Reeves, Jonathan J. & Sherris, Michael, 2018. "Portfolio management with targeted constant market volatility," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 134-147.
    3. Hainaut, Donatien, 2017. "Contagion modeling between the financial and insurance markets with time changed processes," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 63-77.
    4. Milevsky, Moshe A., 2020. "Calibrating Gompertz in reverse: What is your longevity-risk-adjusted global age?," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 147-161.
    5. Yuanchuang Shan & Huisheng Shu & Haoran Yi, 2023. "Pricing Equity-Indexed Annuities under a Stochastic Dividend Model," Mathematics, MDPI, vol. 11(3), pages 1-12, January.
    6. Zeitsch, Peter J., 2019. "A jump model for credit default swaps with hierarchical clustering," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 737-775.

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