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

Recurso electrónico / electronic resource
MARC record
Tag12Value
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001  MAP20130039459
003  MAP
005  20131209105852.0
008  131122e20130902esp|||p |0|||b|spa d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
1001 ‎$0‎MAPA20130016863‎$a‎Wei, Xiao
24510‎$a‎Pricing ratchet equity-indexed annuities with early surrender risk in a CIR++ mode‎$c‎Xiao Wei, Marcellino Gaudenzi, Antonino Zanette
520  ‎$a‎In 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.
650 4‎$0‎MAPA20080602437‎$a‎Matemática del seguro
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
650 4‎$0‎MAPA20080591953‎$a‎Métodos actuariales
650 4‎$0‎MAPA20090039629‎$a‎Riesgo actuarial
650 4‎$0‎MAPA20080564322‎$a‎Tarificación
7001 ‎$0‎MAPA20130017464‎$a‎Gaudenzi, Marcellino
7001 ‎$0‎MAPA20130017471‎$a‎Zanette, Antonino
7730 ‎$w‎MAP20077000239‎$t‎North American actuarial journal‎$d‎Schaumburg : Society of Actuaries, 1997-‎$x‎1092-0277‎$g‎02/09/2013 Tomo 17 Número 3 - 2013 , p. 229-252