Pricing Equity-Indexed Annuities under Stochastic Interest Rates Using Copulas

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

Design and Pricing of Equity-Linked Life Insurance under Stochastic Interest Rates

A valuation model for equity-linked life insurance contracts incorporating stochastic interest rates is presented. Our model generalizes some previous pricing results based on deterministic interest rates. Moreover, a design of a new equity-linked product with some appealing features is proposed and compared with the periodical premium contract of Brennan and Schwartz (1976). Our new product is...

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...