Pricing ratchet equity-indexed annuities with early surrender risk in a CIR++ mode
Contenido multimedia no disponible por derechos de autor o por acceso restringido. Contacte con la institución para más información.
| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20130039459 | ||
| 003 | MAP | ||
| 005 | 20131209105852.0 | ||
| 008 | 131122e20130902esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | 1 | $0MAPA20130016863$aWei, Xiao | |
| 245 | 1 | 0 | $aPricing ratchet equity-indexed annuities with early surrender risk in a CIR++ mode$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 | |
| 700 | 1 | $0MAPA20130017464$aGaudenzi, Marcellino | |
| 700 | 1 | $0MAPA20130017471$aZanette, Antonino | |
| 773 | 0 | $wMAP20077000239$tNorth American actuarial journal$dSchaumburg : Society of Actuaries, 1997-$x1092-0277$g02/09/2013 Tomo 17 Número 3 - 2013 , p. 229-252 |