87
Views
0
CrossRef citations to date
0
Altmetric
Research Article

Valuing equity-linked annuities under high-water mark fee structure

, &
Pages 506-531 | Received 08 Mar 2023, Accepted 22 Oct 2023, Published online: 13 Nov 2023

References

  • Bernard, C., Hardy, M. & MacKay, A. (2014). State-dependent fees for variable annuity guarantees. ASTIN Bulletin: The Journal of the IAA 44(3), 559–585.
  • Bertoin, J. (1996). Lévy processes. Cambridge: Cambridge University Press, 121, P. 43–44
  • Cai, N. (2009). On first passage times of a hyper-exponential jump diffusion process. Operations Research Letters 37(2), 127–134.
  • Cai, N., Chen, N. & Wan, X. (2009). Pricing double-barrier options under a flexible jump diffusion model. Operations Research Letters 37(3), 163–167.
  • Cai, N. & Kou, S. G. (2011). Option pricing under a mixed-exponential jump diffusion model. Management Science 57(11), 2067–2081.
  • Cai, N. & Yang, X. (2021). A computational approach to first passage problems of reflected hyper-exponential jump diffusion processes. INFORMS Journal on Computing 33(1), 216–229.
  • Dufresne, D. (2007). Fitting combinations of exponentials to probability distributions. Applied Stochastic Models in Business and Industry 23(1), 23–48.
  • Gerber, H. U., Shiu, E. S. & Yang, H. (2012). Valuing equity-linked death benefits and other contingent options: a discounted density approach. Insurance: Mathematics and Economics 51(1), 73–92.
  • Gerber, H. U., Shiu, E. S. & Yang, H. (2013). Valuing equity-linked death benefits in jump diffusion models. Insurance: Mathematics and Economics 53(3), 615–623.
  • Ko, B. & Ng, A. C. (2007). Discussion on “stochastic life annuities” by D. Dufresne. North American Actuarial Journal 11(3), 170–171.
  • Kou, S. G. (2002). A jump-diffusion model for option pricing. Management Science 48(8), 1086–1101.
  • Kou, S., Petrella, G. & Wang, H. (2005). Pricing path-dependent options with jump risk via Laplace transforms. The Kyoto Economic Review 74(1), 1–23.
  • Kou, S. G. & Wang, H. (2003). First passage times of a jump diffusion process. Advances in Applied Probability 35(2), 504–531.
  • Kou, S. G. & Wang, H. (2004). Option pricing under a double exponential jump diffusion model. Management Science 50(9), 1178–1192.
  • Kyprianou, A. (2006). Introductory lectures on fluctuations of Lévy processes with applications. Basel: Springer. P. 119–145.
  • Kyprianou, A. E. & Loeffen, R. L. (2010). Refracted lévy processes. Annales de l’IHP Probabilités et statistiques 46(1), 24–44.
  • Landriault, D., Li, B., Li, D. & Wang, Y. (2021). High-water mark fee structure in variable annuities. Journal of Risk and Insurance 88(4), 1057–1094.
  • Lee, H. (2003). Pricing equity-indexed annuities with path-dependent options. Insurance: Mathematics and Economics 33(3), 677–690.
  • Tiong, S. (2000). Valuing equity-indexed annuities. North American Actuarial Journal 4(4), 149–163.
  • Wang, W. & Zhou, X. (2019). Potential densities for taxed spectrally negative Lévy risk processes. Risks 7(3), 85.
  • Wang, W. & Zhou, X. (2021). A drawdown reflected spectrally negative Lévy process. Journal of Theoretical Probability 34(1), 283–306.
  • Zhou, J. & Wu, L. (2015). Valuing equity-linked death benefits with a threshold expense strategy. Insurance: Mathematics and Economics 62, 79–90.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.