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Pricing variable annuity guarantees in a local volatility framework

Recurso electrónico / electronic resource
Registro MARC
Tag12Valor
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040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎34
100  ‎$0‎MAPA20100064160‎$a‎Deelstra, Griselda
24510‎$a‎Pricing variable annuity guarantees in a local volatility framework‎$c‎Griselda Deelstra, Grégory Rayée
520  ‎$a‎In this paper the authors study the price of Variable Annuity Guarantees, particularly those of Guaranteed Annuity Options (GAO) and Guaranteed Minimum Income Benefit (GMIB), in the settings of a derivative pricing model where the underlying spot (the fund) is locally governed by a geometric Brownian motion with local volatility, whil interest rates follow a Hull-White one-factor Gaussian model
650 4‎$0‎MAPA20080552114‎$a‎Pensiones
650 4‎$0‎MAPA20080554927‎$a‎Jubilación
650 4‎$0‎MAPA20080602437‎$a‎Matemática del seguro
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
7001 ‎$0‎MAPA20140002160‎$a‎Rayée, Grégory
7730 ‎$w‎MAP20077100574‎$t‎Insurance : mathematics and economics‎$d‎Oxford : Elsevier, 1990-‎$x‎0167-6687‎$g‎04/11/2013 Volumen 53 Número 3 - noviembre 2013 , p.650-663