Centro de Documentación de Fundación MAPFRE - Pricing ratchet equity-indexed annuities with early surrender risk in a CIR++ mode

MAP20130039459

Pricing ratchet equity-indexed annuities with early surrender risk in a CIR++ mode / Xiao Wei, Marcellino Gaudenzi, Antonino Zanette

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

En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 02/09/2013 Tomo 17 Número 3 - 2013 , p. 229-252

1. Matemática del seguro . 2. Cálculo actuarial . 3. Métodos actuariales . 4. Riesgo actuarial . 5. Tarificación . I. Gaudenzi, Marcellino . II. Zanette, Antonino . III. Título.