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

^*此作品的通讯作者

统计学院

East China Normal University

科研成果: 期刊稿件 › 文章 › 同行评审

3 引用（Scopus）

摘要

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.

源语言	英语
页（从-至）	2870-2885
页数	16
期刊	Communications in Statistics - Theory and Methods
卷	43
期	14
DOI	https://doi.org/10.1080/03610926.2012.690488
出版状态	已出版 - 18 7月 2014

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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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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

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

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