TY - JOUR
T1 - Valuation of equity-indexed annuity under stochastic mortality and interest rate
AU - Qian, Linyi
AU - Wang, Wei
AU - Wang, Rongming
AU - Tang, Yincai
PY - 2010/10
Y1 - 2010/10
N2 - An equity-indexed annuity (EIA) contract offers a proportional participation in the return on a specified equity index, in addition to a guaranteed return on the single premium. In this paper, we discuss the valuation of equity-indexed annuities under stochastic mortality and interest rate which are assumed to be dependent on each other. Employing the method of change of measure, we present the pricing formulas in closed form for the most common product designs: the point-to-point and the annual reset. Finally, we conduct several numerical experiments, in which we analyze the relationship between some parameters and the pricing of EIAs.
AB - An equity-indexed annuity (EIA) contract offers a proportional participation in the return on a specified equity index, in addition to a guaranteed return on the single premium. In this paper, we discuss the valuation of equity-indexed annuities under stochastic mortality and interest rate which are assumed to be dependent on each other. Employing the method of change of measure, we present the pricing formulas in closed form for the most common product designs: the point-to-point and the annual reset. Finally, we conduct several numerical experiments, in which we analyze the relationship between some parameters and the pricing of EIAs.
KW - Equity-indexed annuity
KW - Stochastic interest rate
KW - Stochastic mortality
UR - https://www.scopus.com/pages/publications/77955664180
U2 - 10.1016/j.insmatheco.2010.06.005
DO - 10.1016/j.insmatheco.2010.06.005
M3 - 文章
AN - SCOPUS:77955664180
SN - 0167-6687
VL - 47
SP - 123
EP - 129
JO - Insurance: Mathematics and Economics
JF - Insurance: Mathematics and Economics
IS - 2
ER -