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Reserving, Pricing and Hedging for Policies with Guaranteed Annuity Options. Reserving for Annuity Guarantees: Reference Paper for the Discussion

Author

Listed:
  • Wilkie, A. D.
  • Waters, H. R.
  • Yang, S.
  • Bolton, M. J.
  • Carr, D. H.
  • Collis, P. A.
  • George, C. M.
  • Knowles, V. P.
  • Whitehouse, A. J.

Abstract

This report, which was sponsored by the Life Board of the Faculty and Institute of Actuaries, was originally published in November 1997. Because it is referred to several times in the paper ‘Reserving, Pricing and Hedging for Policies with Guaranteed Annuity Options’, and in the discussions of the paper, and because it is not easily accessible elsewhere, it is printed here as a background paper for reference.

Suggested Citation

  • Wilkie, A. D. & Waters, H. R. & Yang, S. & Bolton, M. J. & Carr, D. H. & Collis, P. A. & George, C. M. & Knowles, V. P. & Whitehouse, A. J., 2004. "Reserving, Pricing and Hedging for Policies with Guaranteed Annuity Options. Reserving for Annuity Guarantees: Reference Paper for the Discussion," British Actuarial Journal, Cambridge University Press, vol. 10(1), pages 101-130, April.
    • Handle: RePEc:cup:bracjl:v:10:y:2004:i:01:p:101-130_00
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    Cited by:

    1. Michael A H Dempster & Elena A Medova & Michael Villaverde, 2010. "Long-term interest rates and consol bond valuation," Journal of Asset Management, Palgrave Macmillan, vol. 11(2), pages 113-135, June.

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