Pricing ratchet equity-indexed annuities with early surrender risk in a CIR++ mode

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Collection: Articles
Title: Pricing ratchet equity-indexed annuities with early surrender risk in a CIR++ mode / Xiao Wei, Marcellino Gaudenzi, Antonino Zanette
Author: Wei, Xiao
Notes: Sumario: In this article we propose a lattice algorithm for pricing simple Ratchet equity-indexed annuities (EIAs) with early surrender risk and global minimum contract value when the asset value depends on the CIR++ stochastic interest rates. In addition we present an asymptotic expansion technique that permits us to obtain a first-order approximation formula for the price of simple Ratchet EIAs without early surrender risk and without a global minimum contract value. Numerical comparisons show the reliability of the proposed methods.
Related records: En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 02/09/2013 Tomo 17 Número 3 - 2013 , p. 229-252
Materia / lugar / evento: Matemática del seguro Cálculo actuarial Métodos actuariales Riesgo actuarial Tarificación
Other authors: Gaudenzi, Marcellino
Zanette, Antonino
Other categories: 6
Rights: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/
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