منابع مشابه
Guaranteed annuity conversion options and their valuation∗
In this chapter, we consider a theoretical model for the pricing and valuation of guaranteed annuity conversion options associated with certain unit-linked pension contracts in the UK. The valuation approach is based on the similarity between the payoff structure of the contract and a call option written on a coupon-bearing bond. The model makes use of a one-factor Heath-Jarrow-Morton framework...
متن کاملValuation of guaranteed annuity options in affine term structure models
We propose three analytic approximation methods for numerical valuation of the guaranteed annuity options in deferred annuity pension policies. The approximation methods include the stochastic duration approach, Edgeworth expansion and analytic approximation in affine diffusions. The payoff structure in the annuity policies is similar to a quanto call option written on a coupon bearing bond. To...
متن کاملValuation and Hedging of the Ruin-Contingent Life Annuity (RCLA)
VALUATION AND HEDGING OF THE RUIN-CONTINGENT LIFE ANNUITY This paper analyzes a type of mortality contingent-claim called a ruin-contingent life annuity (RCLA). This product is essentially a stand-alone version of the option embedded inside of a variable annuity, but without the buyer having to hand-over investment assets to the insurance company. The annuitant’s (i.e. long position) payoff fro...
متن کاملMortality and Longevity Valuation
Where we present a brief discussion on methods for valuing longevity risk. Chaos is the origin of the universe. Mathematics is its language. It is clear that the asset class comprised of life insurance related products that carry longevity risk cannot be valued based on typical financial measures. Specifically, the returns and yields so commonly bantered about amongst the 'players' have absolut...
متن کاملThe Longevity Annuity: An Annuity for Everyone?
As of 2005, U.S. individuals had an estimated $7.4 trillion invested in IRAs and employersponsored retirement accounts. Many retirees will thus face the difficult problem of turning a pool of assets into a stream of retirement income. Purchasing an immediate annuity is a common recommendation for retirees trying to maximize retirement spending. The vast majority of retirees, however, are unwill...
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ژورنال
عنوان ژورنال: The Journal of Risk and Insurance
سال: 1996
ISSN: 0022-4367
DOI: 10.2307/253744