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Cliquet-style return guarantees in a regime switching Lévy model

Hieber, Peter - In: Insurance / Mathematics & economics 72 (2017), pp. 138-147

Persistent link: https://www.econbiz.de/10011694412

Indifference fee rate for variable annuities

Chevalier, Etienne; Lim, Thomas; Romero, Ricardo Romo - In: Applied mathematical finance 23 (2016) 3/4, pp. 278-308

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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

Quantitative modeling of risk management strategies : stochastic reserving and hedging of variable annuity guaranteed benefits

Feng, Runhuan; Yi, Bingji - In: Insurance / Mathematics & economics 85 (2019), pp. 60-73

Persistent link: https://www.econbiz.de/10011990615

Pricing insurance drawdown-type contracts with underlying Lévy assets

Palmowski, Zbigniew; Tumilewicz, Joanna - In: Insurance / Mathematics & economics 79 (2018), pp. 1-14

Persistent link: https://www.econbiz.de/10011825327

Evaluation of variable annuity guarantees with the effect of jumps in the asset price process

Juma, Mussa; Lee, Min Cherng; Chin, Seong Tah; Liew, … - In: Cogent economics & finance 5 (2017) 1, pp. 1-17

Financial crisis in 2007–2008 have caused losses to life insurance companies issuing variable annuities with guarantees. This is partly due to failure of variable annuity (VA) issuers to anticipate the large variations in asset prices during the financial crisis times in their pricing...

Persistent link: https://www.econbiz.de/10011881290

Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitt...

Gudkov, Nikolay; Ignatieva, Ekaterina; Ziveyi, Jonathan - In: Quantitative finance 19 (2019) 3, pp. 501-518

Persistent link: https://www.econbiz.de/10012194671

Valuing variable annuity guarantees on multiple assets

Fonseca, José da; Ziveyi, Jonathan - In: Scandinavian actuarial journal (2017) 3, pp. 209-230

Persistent link: https://www.econbiz.de/10011772102

Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit under stochastic interest rate

Shevchenko, Pavel V.; Luo, Xiaolin - In: Insurance / Mathematics & economics 76 (2017), pp. 104-117

Persistent link: https://www.econbiz.de/10011774788

Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps

Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: Insurance / Mathematics & economics 74 (2017), pp. 46-62

Persistent link: https://www.econbiz.de/10011712358