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

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<title>Pricing ratchet equity-indexed annuities with early surrender risk in a CIR++ mode</title>
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<namePart>Wei, Xiao</namePart>
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<namePart>Gaudenzi, Marcellino</namePart>
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<namePart>Zanette, Antonino</namePart>
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<abstract displayLabel="Summary">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.</abstract>
<note type="statement of responsibility">Xiao Wei, Marcellino Gaudenzi, Antonino Zanette</note>
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<title>North American actuarial journal</title>
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<publisher>Schaumburg : Society of Actuaries, 1997-</publisher>
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<identifier type="issn">1092-0277</identifier>
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<text>02/09/2013 Tomo 17 Número 3 - 2013 , p. 229-252</text>
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