Guaranteed Annuity Options
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- Ziveyi, Jonathan & Blackburn, Craig & Sherris, Michael, 2013. "Pricing European options on deferred annuities," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 300-311.
- Kevin Fergusson & Eckhard Platen, 2013. "Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees," Research Paper Series 338, Quantitative Finance Research Centre, University of Technology, Sydney.
- Post Thomas, 2012. "Individual Welfare Gains from Deferred Life-Annuities under Stochastic Mortality," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 6(2), pages 1-26, June.
- Huaxiong Huang & Moshe A. Milevsky & Thomas S. Salisbury, 2012. "Valuation and hedging of the ruin-contingent life annuity (RCLA)," Papers 1205.3686, arXiv.org.
- Lee, Yung-Tsung, 2015. "A Framework to Charge for Unit-Linked Contracts When Considering Guaranteed Risk," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 5(3), pages 495-509, March.
- Bayraktar, Erhan & Milevsky, Moshe A. & David Promislow, S. & Young, Virginia R., 2009.
"Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 33(3), pages 676-691, March.
- Erhan Bayraktar & Moshe Milevsky & David Promislow & Virginia Young, 2008. "Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities," Papers 0802.3250, arXiv.org.
- Gao, Huan & Mamon, Rogemar & Liu, Xiaoming, 2017. "Risk measurement of a guaranteed annuity option under a stochastic modelling framework," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 132(C), pages 100-119.
- Deelstra, Griselda & Rayée, Grégory, 2013.
"Pricing Variable Annuity Guarantees in a local volatility framework,"
Insurance: Mathematics and Economics,
Elsevier, vol. 53(3), pages 650-663.
- Griselda Deelstra & Gr'egory Ray'ee, 2012. "Pricing Variable Annuity Guarantees in a Local Volatility framework," Papers 1204.0453, arXiv.org, revised Apr 2012.
- Moshe A. Milevsky & S. David Promislow & Virginia R. Young, 2007. "Financial Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Pricing Pure Endowments," Papers 0705.1302, arXiv.org.
- Yang, Sharon S. & Dai, Tian-Shyr, 2013. "A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 231-242.
- Huang, H. & Milevsky, M.A. & Salisbury, T.S., 2014. "Optimal initiation of a GLWB in a variable annuity: No Arbitrage approach," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 102-111.
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