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Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates

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Cited by:

  1. Charles Guy Njike Leunga & Donatien Hainaut, 2022. "Valuation of Annuity Guarantees Under a Self-Exciting Switching Jump Model," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 963-990, June.
  2. 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.
  3. Thorsten Moenig, 2022. "It's RILA time: An introduction to registered index‐linked annuities," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(2), pages 339-369, June.
  4. Feng, Runhuan & Shimizu, Yasutaka, 2016. "Applications of central limit theorems for equity-linked insurance," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 138-148.
  5. Kijima, Masaaki & Wong, Tony, 2007. "Pricing of Ratchet equity-indexed annuities under stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 41(3), pages 317-338, November.
  6. Risk, J. & Ludkovski, M., 2016. "Statistical emulators for pricing and hedging longevity risk products," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 45-60.
  7. Günther, Sascha & Hieber, Peter, 2024. "Analyzing the interest rate risk of equity-indexed annuities via scenario matrices," Insurance: Mathematics and Economics, Elsevier, vol. 114(C), pages 15-28.
  8. Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy, 2017. "Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 46-62.
  9. Coleman, Thomas F. & Li, Yuying & Patron, Maria-Cristina, 2006. "Hedging guarantees in variable annuities under both equity and interest rate risks," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 215-228, April.
  10. Ballotta, Laura & Eberlein, Ernst & Schmidt, Thorsten & Zeineddine, Raghid, 2021. "Fourier based methods for the management of complex life insurance products," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 320-341.
  11. Qian, Linyi & Wang, Wei & Wang, Rongming & Tang, Yincai, 2010. "Valuation of equity-indexed annuity under stochastic mortality and interest rate," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 123-129, October.
  12. Gao, Quansheng & He, Ting & Zhang, Chi, 2011. "Quantile hedging for equity-linked life insurance contracts in a stochastic interest rate economy," Economic Modelling, Elsevier, vol. 28(1), pages 147-156.
  13. Dai, Tian-Shyr & Yang, Sharon S. & Liu, Liang-Chih, 2015. "Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 364-379.
  14. Moore, Kristen S., 2009. "Optimal surrender strategies for equity-indexed annuity investors," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 1-18, February.
  15. Pansera, Jérôme, 2012. "Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 1-11.
  16. Richter, Andreas & Weber, Frederik, 2009. "Mortality-Indexed Annuities," Discussion Papers in Business Administration 10994, University of Munich, Munich School of Management.
  17. Chiu, Yu-Fen & Hsieh, Ming-Hua & Tsai, Chenghsien, 2019. "Valuation and analysis on complex equity indexed annuities," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
  18. Maciej Augustyniak & Mathieu Boudreault, 2017. "Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk," North American Actuarial Journal, Taylor & Francis Journals, vol. 21(4), pages 502-525, October.
  19. Gao, Quansheng & He, Ting & Zhang, Chi, 2011. "Quantile hedging for equity-linked life insurance contracts in a stochastic interest rate economy," Economic Modelling, Elsevier, vol. 28(1-2), pages 147-156, January.
  20. Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming, 2015. "Pricing annuity guarantees under a double regime-switching model," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 62-78.
  21. Chen, Hua & Cox, Samuel H. & Wang, Shaun S., 2010. "Is the Home Equity Conversion Mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 371-384, April.
  22. Liew, Chuin Ching & Siu, Tak Kuen, 2010. "A hidden Markov regime-switching model for option valuation," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 374-384, December.
  23. Paolo Angelis & Roberto Marchis & Antonio L. Martire & Emilio Russo, 2022. "A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 415-446, June.
  24. Ludovic Gouden`ege & Andrea Molent & Antonino Zanette, 2025. "Robust Pricing of Equity-Indexed Annuities under Uncertain Volatility and Stochastic Interest Rate," Papers 2502.10300, arXiv.org, revised Feb 2025.
  25. Seo, Jun-Ho & Kim, Jeong-Hoon, 2022. "Multiscale stochastic elasticity of variance for options and equity linked annuity; A Mellin transform approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 192(C), pages 303-320.
  26. Wei, Jiaqin & Wang, Rongming & Yang, Hailiang, 2012. "Optimal surrender strategies for equity-indexed annuity investors with partial information," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1251-1258.
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