Centro de Documentación de Fundación MAPFRE - Pricing variable annuity guarantees in a local volatility framework

Notas: Sumario: In this paper the authors study the price of Variable Annuity Guarantees, particularly those of Guaranteed Annuity Options (GAO) and Guaranteed Minimum Income Benefit (GMIB), in the settings of a derivative pricing model where the underlying spot (the fund) is locally governed by a geometric Brownian motion with local volatility, whil interest rates follow a Hull-White one-factor Gaussian modelRegistros relacionados: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 04/11/2013 Volumen 53 Número 3 - noviembre 2013 , p.650-663Materia / lugar / evento: Pensiones Jubilación Matemática del seguro Cálculo actuarial Otros autores: Rayée, Grégory
Otras clasificaciones: 34

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