Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps

Cui, ZY; Kirkby, JL; Nguyen, D

Cui, ZY (reprint author), Stevens Inst Technol, Sch Business, Babbio Ctr, 1 Castle Point Hudson, Hoboken, NJ 07310 USA.

INSURANCE MATHEMATICS & ECONOMICS, 2017; 74 ( ): 46

Abstract

In this paper, we develop a novel and efficient transform-based method to price equity-linked annuities (ELAs), including equity-indexed annuities (EI......

Full Text Link