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North American Actuarial Journal Volume 17, 2013 - Issue 3
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Feature Articles

Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model

Xiao Wei China Institute for Actuarial Science, Central University of Finance and Economics, Beijing, China
,
Marcellino Gaudenzi Dipartimento di Scienze Economiche e Statistiche, Università di Udine, Udine, Italy
&
Antonino Zanette Dipartimento di Scienze Economiche e Statistiche, Università di Udine, Udine, Italy
Pages 229-252 | Published online: 11 Sep 2013

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Read on this site (2)

Maciej Augustyniak & Mathieu Boudreault. (2017) Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk. North American Actuarial Journal 21:4, pages 502-525.
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Adam W. Kolkiewicz & Fangyuan Sally Lin. (2017) Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes. North American Actuarial Journal 21:3, pages 433-457.
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Articles from other publishers (4)

Yayun Wang. (2023) Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method. Journal of Mathematical Analysis and Applications, pages 127666.
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Anna Battauz & Francesco Rotondi. (2022) American options and stochastic interest rates. Computational Management Science 19:4, pages 567-604.
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Keisuke Kizaki & Yoshifumi Muroi. (2016) Pricing of Guaranteed Annuity Options in a Stochastic Volatility and Interest Rate Environment. Asia-Pacific Journal of Risk and Insurance 10:2, pages 133-153.
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Maciej Augustyniak. (2016) Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness Under Model Risk. SSRN Electronic Journal.
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