Centro de Documentacion de Fundación MAPFRE - Pricing variable annuity guarantees in a local volatility framework

MAP20140000630

Pricing variable annuity guarantees in a local volatility framework / Griselda Deelstra, Grégory Rayée

Sumario: In 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

En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 04/11/2013 Volumen 53 Número 3 - noviembre 2013 , p.650-663

1. Pensiones . 2. Jubilación . 3. Matemática del seguro . 4. Cálculo actuarial . I. Rayée, Grégory . II. Título.