کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077240 1374123 2010 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Valuation of equity-indexed annuity under stochastic mortality and interest rate
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Valuation of equity-indexed annuity under stochastic mortality and interest rate
چکیده انگلیسی
An equity-indexed annuity (EIA) contract offers a proportional participation in the return on a specified equity index, in addition to a guaranteed return on the single premium. In this paper, we discuss the valuation of equity-indexed annuities under stochastic mortality and interest rate which are assumed to be dependent on each other. Employing the method of change of measure, we present the pricing formulas in closed form for the most common product designs: the point-to-point and the annual reset. Finally, we conduct several numerical experiments, in which we analyze the relationship between some parameters and the pricing of EIAs.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 47, Issue 2, October 2010, Pages 123-129
نویسندگان
, , , ,