| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076671 | Insurance: Mathematics and Economics | 2013 | 10 Pages |
Abstract
⺠We design a new variable annuity to help retirement planner protect their investment portfolios against inflation risk. ⺠We expand the Jarrow and Yildirim model to include a risky asset. ⺠The nominal and real interest rates follow the Gaussian HJM forward rate model. ⺠We present closed form explicit pricing and hedging formulas for these structures.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Serena Tiong,