This paper considers the pricing of European call options written on pure endowment and deferred life annuity contracts, also known as guaranteed annuity options. These contracts provide a guaranteed value at the maturity of the option. The contract valuation is dependent on the stochastic...

We consider a Heston type inflation model in combination with a Hull–White model for nominal and real interest rates, in which all the correlations can be non-zero. Due to the presence of the Heston dynamics our derived inflation model is able to capture the implied volatility skew/smile,...

For high-dimensional risk aggregation purposes, most popular copula classes are too restrictive in terms of attainable dependence structures. These limitations aggravate with increasing dimension. We study a hierarchical risk aggregation method which is flexible in high dimensions. With this...

Guaranteed lifetime withdrawal benefits (GLWB) embedded in variable annuities have become an increasingly popular type of life annuity designed to cover systematic mortality risk while providing protection to policyholders from downside investment risk. This paper provides an extensive study of...

We establish a model of insurance pricing with the assumption that the insurance price, insurer investment returns, and insured losses are correlated stochastic processes. We consider the effect of demand on price where the objective of the pricing model is to maximize the expected utility of...

We study the valuation and hedging of unit-linked life insurance contracts in a setting where mortality intensity is governed by a stochastic process. We focus on model risk arising from different specifications for the mortality intensity. To do so we assume that the mortality intensity is...

In addition to an interest rate guarantee and annual surplus participation, life insurance contracts typically embed the right to stop premium payments during the term of the contract (paid-up option), to resume payments later (resumption option), or to terminate the contract early (surrender...

Motivated by the Guaranteed Minimum Death Benefits in various deferred annuities, we investigate the calculation of the expected discounted value of a payment at the time of death. The payment depends on the price of a stock at that time and possibly also on the history of the stock price. If...

In this paper, we comprehensively analyze the catastrophe (cat) swap, a financial instrument which has attracted little scholarly attention to date. We begin with a discussion of the typical contract design, the current state of the market, as well as major areas of application. Subsequently, a...

We compare cliquet-style interest rate guarantees used in German participating life insurance contracts across different economic environments. These guarantees are proportional to the average market interest rate at contract inception and typically set at 60% of the 10-year rolling average of...