The target redemption note is an index linked note that provides a guaranteed sum of coupons(target cap) with possibility of early termination. In a typical structure, the coupons are calculated based on an inverse floating LIBOR / Euribor formula. Once the accumulated coupon has reached the...

We propose three analytic approximation methods for numerical valuation of the guaranteed annuity options in deferred annuity pension policies. The approximation methods include stochastic duration approach, Edgeworth expansion and analytic approximation in affine diffusions. The payoff...

We construct the contingent claims models that price participating policies with rate guarantees, bonuses and default risk. These policies are characterized by the sharing of profits from an investment portfolio between the insurer and the policy holders. A certain surplus distribution mechanism...

We construct the contingent claims models that price participating policies with rate guarantees and default risk. These policies are characterized by the sharing of profits from an investment portfolio between the insurer and the policyholders. A certain reserve distribution mechanism is...

We propose three analytic approximation methods for numerical valuation of the guaranteed annuity options in deferred annuity pension policies. The approximation methods include the stochastic duration approach, Edgeworth expansion, and analytic approximation in affine diffusions. The payoff...

The target redemption note is an index‐linked note that provides a guaranteed sum of coupons (target cap) with the possibility of early termination. In a typical structure, the coupons are calculated based on an inverse floating, London Interbank Offered Rate/Euro Interbank Offered Rate...