Sección: ArtículosTítulo: Pricing inflation-linked variable annuities under stochastic interest rates / Serena TiongAutor: Tiong, SerenaNotas: Sumario: Equities have long been dubbed the natural hedge against inflation. However, empirical findings have implied just the opposite, that there exists a negative correlation between stock returns and inflation. The rising inflation and slowing economic growth that we are experiencing in todays market environment pose an even greater threat to the general investors, especially on their retirement planning. In this paper, we present various inflation-linked variable annuities which are designed to help investors protect their portfolios from inflation risk. Assuming a Gaussian HJM framework for the nominal and real term structures, closed-form pricing formulas are obtained for these inflation-linked annuity products.Registros relacionados: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 07/01/2013 Volumen 52 Número 1 - enero 2013 Otras clasificaciones: 6Derechos: In Copyright (InC)Referencias externas:
