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

<?xml version="1.0" encoding="UTF-8" standalone="no"?>
<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<rdf:Description>
<dc:creator>Wei, Xiao</dc:creator>
<dc:creator>Gaudenzi, Marcellino</dc:creator>
<dc:creator>Zanette, Antonino</dc:creator>
<dc:date>2013-09-02</dc:date>
<dc:description xml:lang="es">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.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/145127.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Matemática del seguro</dc:subject>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:subject xml:lang="es">Métodos actuariales</dc:subject>
<dc:subject xml:lang="es">Riesgo actuarial</dc:subject>
<dc:subject xml:lang="es">Tarificación</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Pricing ratchet equity-indexed annuities with early surrender risk in a CIR++ mode</dc:title>
<dc:relation xml:lang="es">En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 02/09/2013 Tomo 17 Número 3 - 2013 , p. 229-252</dc:relation>
</rdf:Description>
</rdf:RDF>