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Taxation and policyholder behaviour : the case of guaranteed minimum accumulation benefits

Alonso-García, Jennifer; Sherris, Michael; Thirurajah, … - 2020

Persistent link: https://www.econbiz.de/10012582575

Taxation and policyholder behavior : the case of guaranteed minimum accumulation benefits

Alonso-García, Jennifer; Sherris, Michael; Thirurajah, … - In: ASTIN bulletin : the journal of the International … 54 (2024) 1, pp. 185-212

Persistent link: https://www.econbiz.de/10014485606

Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options

Shen, Yang; Sherris, Michael; Ziveyi, Jonathan - In: Insurance / Mathematics & economics 69 (2016), pp. 127-137

Persistent link: https://www.econbiz.de/10011530941

Pricing European Options on Deferred Annuities

Ziveyi, Jonathan - 2013

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...

Persistent link: https://www.econbiz.de/10013091592

Financial Engineering : A Flexible Longevity Bond to Manage Individual Longevity Risk

Zhou, Yuxin - 2020

There is a significant potential demand in many countries around the world for a flexible product to manage individual longevity risk arising from the prevalence of defined contribution pensions, uncertainty in improvements in life expectancy, potential reductions in public pensions and a lack...

Persistent link: https://www.econbiz.de/10012836433

Valuing Variable Annuity Guarantees on Multiple Assets

Ziveyi, Jonathan - 2015

Guarantees embedded variable annuity contracts exhibit option-like payoff features and the pricing of such instruments naturally leads to risk neutral valuation techniques. This paper considers the pricing of two types of guarantees; namely, the Guaranteed Minimum Maturity Benefit and the...

Persistent link: https://www.econbiz.de/10013011325

Valuation of Guaranteed Minimum Maturity Benefits in Variable Annuities with Surrender Options

Shen, Yang - 2015

. Surrender charges are important in practice and are imposed as a way of discouraging early termination of variable annuity … contracts. We formulate the valuation framework and focus on the surrender option as an American put option pricing problem and … and the delta of the surrender option. We quantify and assess the sensitivity of the prices, early exercise boundaries and …

Persistent link: https://www.econbiz.de/10013011326

Market Price of Longevity Risk for a Multi-Cohort Mortality Model with Application to Longevity Bond Option Pricing

Sherris, Michael - 2018

The pricing of longevity-linked securities depends not only on the stochastic uncertainty of the underlying risk factors, but also the attitude of investors towards those factors. In this research, we investigate how to estimate the market risk premium of longevity risk using investable...

Persistent link: https://www.econbiz.de/10012927869

Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality

Ignatieva, Ekaterina; Song, Andrew; Ziveyi, Jonathan - In: Insurance / Mathematics & economics 70 (2016), pp. 286-300

Persistent link: https://www.econbiz.de/10011597296

Fourier space time-stepping algorithm for valuing Guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality

Ignatieva, Ekaterina; Song, Andrew; Ziveyi, Jonathan - In: Astin bulletin : the journal of the International … 48 (2018) 1, pp. 139-169

Persistent link: https://www.econbiz.de/10011875585