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Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance

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  • Schrager, David F.
  • Pelsser, Antoon A.J.

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Bibliographic Info

Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 35 (2004)
Issue (Month): 2 (October)
Pages: 369-398

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Handle: RePEc:eee:insuma:v:35:y:2004:i:2:p:369-398

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Web page: http://www.elsevier.com/locate/inca/505554

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References

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  1. Nielsen, J. Aase & Sandmann, Klaus, 2003. "Pricing Bounds on Asian Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 38(02), pages 449-473, June.
  2. Nielsen, J. Aase & Klaus Sandmann, 1995. "Equity-linked life insurance - a model with stochastic interest rates," Discussion Paper Serie B, University of Bonn, Germany 291, University of Bonn, Germany, revised Mar 1995.
  3. Simon, S. & Goovaerts, M. J. & Dhaene, J., 2000. "An easy computable upper bound for the price of an arithmetic Asian option," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 26(2-3), pages 175-183, May.
  4. Brennan, Michael J. & Schwartz, Eduardo S., 1976. "The pricing of equity-linked life insurance policies with an asset value guarantee," Journal of Financial Economics, Elsevier, Elsevier, vol. 3(3), pages 195-213, June.
  5. Levy, Edmond, 1992. "Pricing European average rate currency options," Journal of International Money and Finance, Elsevier, Elsevier, vol. 11(5), pages 474-491, October.
  6. Klaus Sandmann & J. Aase Nielsen, 2002. "Pricing of Asian exchange rate options under stochastic interest rates as a sum of options," Finance and Stochastics, Springer, Springer, vol. 6(3), pages 355-370.
  7. Alan Brace & Dariusz G�atarek & Marek Musiela, 1997. "The Market Model of Interest Rate Dynamics," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 7(2), pages 127-155.
  8. Miltersen, K. & K. Sandmann & D. Sondermann, 1994. "Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates," Discussion Paper Serie B, University of Bonn, Germany 308, University of Bonn, Germany.
  9. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-92.
  10. Bacinello, Anna Rita & Ortu, Fulvio, 1993. "Pricing equity-linked life insurance with endogenous minimum guarantees," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 12(3), pages 245-257, June.
  11. Nielsen, J. Aase & Klaus Sandmann, 1995. "Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts," Discussion Paper Serie B, University of Bonn, Germany 327, University of Bonn, Germany, revised Mar 1996.
  12. J. A. Nielsen & K. Sandmann, 1996. "The pricing of Asian options under stochastic interest rates," Applied Mathematical Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 3(3), pages 209-236.
  13. A. Pelsser, 2003. "Mathematical foundation of convexity correction," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 3(1), pages 59-65.
  14. Milevsky, Moshe A. & David Promislow, S., 2001. "Mortality derivatives and the option to annuitise," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 29(3), pages 299-318, December.
  15. Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 11(3), pages 215-260, August.
  16. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, Elsevier, vol. 20(3), pages 381-408, June.
  17. Bacinello, Anna Rita & Ortu, Fulvio, 1993. "Pricing equity-linked life insurance with endogenous minimum guarantees : A corrigendum," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 13(3), pages 303-304, December.
  18. Jamshidian, Farshid, 1989. " An Exact Bond Option Formula," Journal of Finance, American Finance Association, American Finance Association, vol. 44(1), pages 205-09, March.
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Cited by:
  1. van Haastrecht, Alexander & Lord, Roger & Pelsser, Antoon & Schrager, David, 2009. "Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 45(3), pages 436-448, December.
  2. Schrager, David F., 2006. "Affine stochastic mortality," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 38(1), pages 81-97, February.
  3. Yang, Sharon S. & Yueh, Meng-Lan & Tang, Chun-Hua, 2008. "Valuation of the interest rate guarantee embedded in defined contribution pension plans," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 42(3), pages 920-934, June.
  4. Antje Mahayni & Erik Schlögl, 2003. "The Risk Management of Minimum Return Guarantees," Bonn Econ Discussion Papers, University of Bonn, Germany bgse18_2003, University of Bonn, Germany.
  5. Vellekoop, M.H. & Vd Kamp, A.A. & Post, B.A., 2006. "Pricing and hedging guaranteed returns on mix funds," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 38(3), pages 585-598, June.
  6. Plat, Richard & Pelsser, Antoon, 2009. "Analytical approximations for prices of swap rate dependent embedded options in insurance products," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 44(1), pages 124-134, February.
  7. Ankirchner, Stefan & Schneider, Judith C. & Schweizer, Nikolaus, 2014. "Cross-hedging minimum return guarantees: Basis and liquidity risks," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 41(C), pages 93-109.
  8. Deelstra, Griselda & Rayée, Grégory, 2013. "Pricing Variable Annuity Guarantees in a local volatility framework," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 53(3), pages 650-663.

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