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

被引：3

作者：

Wei, Xiao ^{[1
]}

Gaudenzi, Marcellino ^{[2
]}

Zanette, Antonino ^{[2
]}

机构：

[1] Cent Univ Finance & Econ, China Inst Actuarial Sci, 39 South Coll Rd, Beijing 100081, Peoples R China

[2] Univ Udine, Dipartimento Sci Econ & Statist, Udine, Italy

来源：

NORTH AMERICAN ACTUARIAL JOURNAL | 2013年 / 17卷 / 03期

关键词：

D O I：

10.1080/10920277.2013.826126

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this article we propose a lattice algorithm for pricing simple Ratchet equity-indexed annuities (EIAs) with early surrender risk and global minimum contract value when the asset value depends on the CIR++ stochastic interest rates. In addition we present an asymptotic expansion technique that permits us to obtain a first-order approximation formula for the price of simple Ratchet EIAs without early surrender risk and without a global minimum contract value. Numerical comparisons show the reliability of the proposed methods.

引用

页码：229 / 252

页数：24