Valuation of equity-indexed annuities with stochastic interest rate and jump diffusion

Linyi Qian; Rongming Wang; Qian Zhao

doi:10.1080/03610926.2012.690488

Valuation of equity-indexed annuities with stochastic interest rate and jump diffusion

Linyi Qian^*
, Rongming Wang
, Qian Zhao

^*Corresponding author for this work

School of Statistics

East China Normal University

Research output: Contribution to journal › Article › peer-review

3 Scopus citations

Abstract

This article considers the pricing of equity-indexed annuity (EIA). By employing the change of measure technique, we derive the closed-form solutions for the prices of both point-to-point and annual reset equity-indexed annuities. We also provide numerical results to illustrate the method and computational efficiency of our simulation scheme and the effects of various model parameters on the participation rate.

Original language	English
Pages (from-to)	2870-2885
Number of pages	16
Journal	Communications in Statistics - Theory and Methods
Volume	43
Issue number	14
DOIs	https://doi.org/10.1080/03610926.2012.690488
State	Published - 18 Jul 2014

Keywords

Compound poisson process
Equity-indexed annuity
Stochastic interest rate

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10.1080/03610926.2012.690488

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abstract = "This article considers the pricing of equity-indexed annuity (EIA). By employing the change of measure technique, we derive the closed-form solutions for the prices of both point-to-point and annual reset equity-indexed annuities. We also provide numerical results to illustrate the method and computational efficiency of our simulation scheme and the effects of various model parameters on the participation rate.",

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AU - Qian, Linyi

AU - Wang, Rongming

AU - Zhao, Qian

PY - 2014/7/18

Y1 - 2014/7/18

N2 - This article considers the pricing of equity-indexed annuity (EIA). By employing the change of measure technique, we derive the closed-form solutions for the prices of both point-to-point and annual reset equity-indexed annuities. We also provide numerical results to illustrate the method and computational efficiency of our simulation scheme and the effects of various model parameters on the participation rate.

AB - This article considers the pricing of equity-indexed annuity (EIA). By employing the change of measure technique, we derive the closed-form solutions for the prices of both point-to-point and annual reset equity-indexed annuities. We also provide numerical results to illustrate the method and computational efficiency of our simulation scheme and the effects of various model parameters on the participation rate.

KW - Compound poisson process

KW - Equity-indexed annuity

KW - Stochastic interest rate

UR - https://www.scopus.com/pages/publications/84903451252

U2 - 10.1080/03610926.2012.690488

DO - 10.1080/03610926.2012.690488

M3 - 文章

AN - SCOPUS:84903451252

SN - 0361-0926

VL - 43

SP - 2870

EP - 2885

JO - Communications in Statistics - Theory and Methods

JF - Communications in Statistics - Theory and Methods

IS - 14

ER -

Valuation of equity-indexed annuities with stochastic interest rate and jump diffusion

Abstract

Keywords

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