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Pricing rate of return guarantees in a Heath-Jarrow-Morton framework

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  • Miltersen, Kristian R.
  • Persson, Svein-Arne

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  • Miltersen, Kristian R. & Persson, Svein-Arne, 1999. "Pricing rate of return guarantees in a Heath-Jarrow-Morton framework," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 307-325, December.
  • Handle: RePEc:eee:insuma:v:25:y:1999:i:3:p:307-325
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    References listed on IDEAS

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    1. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    2. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
    3. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 627-627, November.
    4. Kaushik I. Amin & Robert A. Jarrow, 2008. "Pricing Options On Risky Assets In A Stochastic Interest Rate Economy," World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 15, pages 327-347 World Scientific Publishing Co. Pte. Ltd..
    5. 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, vol. 3(3), pages 195-213, June.
    6. Jamshidian, Farshid, 1989. " An Exact Bond Option Formula," Journal of Finance, American Finance Association, vol. 44(1), pages 205-209, March.
    7. Brennan, Michael J & Schwartz, Eduardo S, 1979. "Alternative Investment Strategies for the Issuers of Equity Linked Life Insurance Policies with an Asset Value Guarantee," The Journal of Business, University of Chicago Press, vol. 52(1), pages 63-93, January.
    8. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    9. Harrison, J. Michael & Pliska, Stanley R., 1983. "A stochastic calculus model of continuous trading: Complete markets," Stochastic Processes and their Applications, Elsevier, vol. 15(3), pages 313-316, August.
    10. Boyle, Phelim P. & Hardy, Mary R., 1997. "Reserving for maturity guarantees: Two approaches," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 113-127, November.
    11. David Heath & Robert Jarrow & Andrew Morton, 2008. "Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation," World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 13, pages 277-305 World Scientific Publishing Co. Pte. Ltd..
    12. Pedersen, Hal W. & Shiu, Elias S. W., 1994. "Evaluation of the GIC rollover option," Insurance: Mathematics and Economics, Elsevier, vol. 14(2), pages 117-127, May.
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    Cited by:

    1. Consiglio, Andrea & Cocco, Flavio & Zenios, Stavros A., 2008. "Asset and liability modelling for participating policies with guarantees," European Journal of Operational Research, Elsevier, vol. 186(1), pages 380-404, April.
    2. Nordahl, Helge A., 2008. "Valuation of life insurance surrender and exchange options," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 909-919, June.
    3. Fleten, Stein-Erik & Lindset, Snorre, 2008. "Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1680-1689, March.
    4. Zaglauer, Katharina & Bauer, Daniel, 2008. "Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 29-40, August.
    5. Ragnar Norberg, 2005. "Interest Guarantees in Banking," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(4), pages 351-370.
    6. 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.
    7. Melnikov, Alexander & Tong, Shuo, 2014. "Valuation of finance/insurance contracts: Efficient hedging and stochastic interest rates modeling," Risk and Decision Analysis, IOS Press, issue 5, pages 23-41.

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