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Pricing Equity-Indexed Annuities under Stochastic Interest Rates Using Copulas
Author
Source
Journal of Probability and Statistics
Issue
Vol. 2010, Issue 2010 (31 Dec. 2010), pp.1-29, 29 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2010-05-20
Country of Publication
Egypt
No. of Pages
29
Main Subjects
Abstract EN
We develop a consistent evaluation approach for equity-linked insurance products under stochastic interest rates.
This pricing approach requires that the premium information of standard insurance products is given exogenously.
In order to evaluate equity-linked products, we derive three martingale probability measures that reproduce the information from standard insurance products, interest rates, and equity index.
These risk adjusted martingale probability measures are determined using copula theory and evolve with the stochastic interest rate process.
A detailed numerical analysis is performed for existing equity-indexed annuities in the North American market.
American Psychological Association (APA)
Gaillardetz, Patrice. 2010. Pricing Equity-Indexed Annuities under Stochastic Interest Rates Using Copulas. Journal of Probability and Statistics،Vol. 2010, no. 2010, pp.1-29.
https://search.emarefa.net/detail/BIM-493751
Modern Language Association (MLA)
Gaillardetz, Patrice. Pricing Equity-Indexed Annuities under Stochastic Interest Rates Using Copulas. Journal of Probability and Statistics No. 2010 (2010), pp.1-29.
https://search.emarefa.net/detail/BIM-493751
American Medical Association (AMA)
Gaillardetz, Patrice. Pricing Equity-Indexed Annuities under Stochastic Interest Rates Using Copulas. Journal of Probability and Statistics. 2010. Vol. 2010, no. 2010, pp.1-29.
https://search.emarefa.net/detail/BIM-493751
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-493751