Pricing Equity-Indexed Annuities under a Stochastic Dividend Model

Pricing and Hedging Equity Indexed Annuities with Variance-Gamma Deviates

The author analyzes the pricing and hedging problem for Equity Indexed Annuities (EIAs) with underlying risky assets following a geometric Variance-Gamma process. This model allows accurate and parsimonious replication of the implied volatility smiles observed in the financial market. I argue that this model produces consistency in pricing and hedging between the financial and insurance markets...

Pricing Equity-Indexed Annuities Embedded with Exotic Options

Pricing Ratchet equity-indexed annuities with early surrender risk in a CIR++ model

In connection with a problem posed by Kijima and Wong [11], 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 which permits to obtain a first order approximation formula f...

Pricing Options and Equity-Indexed Annuities in a Regime-switching Model by Trinomial Tree Method

In this paper we summarize the main idea and results of Yuen and Yang (2009, 2010a, 2010b) and provide some results on pricing of Parisian options under the Markov regime-switching model (MRSM). The MRSM allows the parameters of the market model depending on a Markovian process, and the model can reflect the information of the market environment which cannot be modeled solely by linear Gaussian...

Risk-based Indifference Pricing under a Stochastic Volatility Model

This paper considers a risk-based approach for indifference valuation of contingent claims in the context of a continuous-time stochastic volatility model. Since the market in the model is incomplete there is more than one arbitrage-free price of an option. We adopt a risk-based approach to select a seller’s and a buyer’s indifference price for the option contract. A convex risk measure is used...