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Valuation of Variable Annuities with Guaranteed Minimum Withdrawal Benefit Under Stochastic Interest Rate

Shevchenko, Pavel V. - 2017

Persistent link: https://www.econbiz.de/10012970069

Pricing Equity-Indexed Annuities with Surrender Options in a Stochastic Interest Rates Environment

Kélani, Abdou - 2014

The aim of this paper is to value EIA contracts with surrender option at a fair price in a stochastic interest rate environment. A non Gaussian model is proposed where a new process called Kou Regime Switching process is introduced to give a more realistic modelling for financial prices. A...

Persistent link: https://www.econbiz.de/10013054163

Risk-based capital for variable annuity under stochastic interest rate

Wang, JinDong; Xu, Wei - In: ASTIN bulletin : the journal of the International … 50 (2020) 3, pp. 959-999

Persistent link: https://www.econbiz.de/10012307392

Taxation of a GMWB variable annuity in a stochastic interest rate model

Molent, Andrea - In: ASTIN bulletin : the journal of the International … 50 (2020) 3, pp. 1001-1035

Persistent link: https://www.econbiz.de/10012307397

Pricing for options in a mixed fractional Hull-White interest rate model

Pan, Jian; Zhou, Xiangying - In: International journal of financial engineering 4 (2017) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10011673121

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

Elementary Introduction to Stochastic Interest Rate Modeling, an (2nd Edition).

Privault, Nicolas - 2012 - 2nd ed.

Key Features:A complete introduction accessible to advanced undergraduatesAlso covers recent aspects of interest rate modelingIncludes many graphs illustrating the multidimensional aspects of interest rate modelsEach chapter is accompanied with exercises and their complete solutions.