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

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      <subfield code="a">Pricing ratchet equity-indexed annuities with early surrender risk in a CIR++ mode</subfield>
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      <subfield code="a">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.</subfield>
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      <subfield code="g">02/09/2013 Tomo 17 Número 3 - 2013 , p. 229-252</subfield>
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