Pricing equity-indexed annuities with path-dependent options

Pricing of Ratchet equity-indexed annuities under stochastic interest rates

“…The analysis, however, is mostly restricted to the standard Black-Scholes model; e.g., see Gerber and Shiu (2003); Hardy (2003); Lee (2003); Tiong (2000). In order to take into account volatility smiles, Jaimungal (2004) assumes that the underlying index follows a Variance-Gamma model and derives closed-form solutions for the Point-to-Point EIA and the compound Ratchet EIA.…”

Mortality-Indexed Annuities Managing Longevity Risk Via Product Design

“…21 Simply speaking, if more insureds than anticipated are still alive, benefits have to be cut in reserves to a specific funds' development. If instead an overall stock index performance or other comprehensive indicator is considered -regardless of how exactly these funds are invested -those contracts would rather be called equity-indexed annuities; see for instance Tiong (2000), Lee (2003), or Lin and Tan (2003). , and for the keywords indexed annuit[y|ies] none were related to actual mortality experience.…”

Pricing maturity guarantee with dynamic withdrawal benefit

“…To evaluate the last expectation in (4.8), we use the following result which Huang and Shiu (2001) and Lee (2003) have obtained by means of Esscher transforms. Let R denote the ''adjustment …”