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Article: Pricing annuity guarantees under a regime-switching model

TitlePricing annuity guarantees under a regime-switching model
Authors
Issue Date2009
PublisherSociety of Actuaries. The Journal's web site is located at http://www.soa.org/ccm/content/?categoryID=767033
Citation
North American Actuarial Journal, 2009, v. 13 n. 3, p. 316-338 How to Cite?
AbstractWe consider the pricing problem of equity-linked annuities and variable annuities under a regime-switching model when the dynamic of the market value of a reference asset is driven by a gen-eralized geometric Brownian motion model with regime switching. In particular, we assume that regime switching over time according to a continuous-time Markov chain with a finite number state space representing economy states. We use the Esscher transform to determine an equivalent martingale measure for fair valuation in the incomplete market setting. The paper is comple-mented with some numerical examples to highlight the implications of our model on pricing these guarantees.
Persistent Identifierhttp://hdl.handle.net/10722/125413
ISSN
2015 SCImago Journal Rankings: 1.505
References

 

DC FieldValueLanguage
dc.contributor.authorSheldon Lin, Xen_HK
dc.contributor.authorTan, KSen_HK
dc.contributor.authorYang, Hen_HK
dc.date.accessioned2010-10-31T11:29:58Z-
dc.date.available2010-10-31T11:29:58Z-
dc.date.issued2009en_HK
dc.identifier.citationNorth American Actuarial Journal, 2009, v. 13 n. 3, p. 316-338en_HK
dc.identifier.issn1092-0277en_HK
dc.identifier.urihttp://hdl.handle.net/10722/125413-
dc.description.abstractWe consider the pricing problem of equity-linked annuities and variable annuities under a regime-switching model when the dynamic of the market value of a reference asset is driven by a gen-eralized geometric Brownian motion model with regime switching. In particular, we assume that regime switching over time according to a continuous-time Markov chain with a finite number state space representing economy states. We use the Esscher transform to determine an equivalent martingale measure for fair valuation in the incomplete market setting. The paper is comple-mented with some numerical examples to highlight the implications of our model on pricing these guarantees.en_HK
dc.languageengen_HK
dc.publisherSociety of Actuaries. The Journal's web site is located at http://www.soa.org/ccm/content/?categoryID=767033en_HK
dc.relation.ispartofNorth American Actuarial Journalen_HK
dc.titlePricing annuity guarantees under a regime-switching modelen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=1092-0277&volume=13 &issue=4&spage=316&epage=332&date=2009&atitle=Pricing+Annuity+Guarantees+under+a+Regime-Switching+Modelen_HK
dc.identifier.emailYang, H: hlyang@hku.hken_HK
dc.identifier.authorityYang, H=rp00826en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1080/10920277.2009.10597557-
dc.identifier.scopuseid_2-s2.0-74949124065en_HK
dc.identifier.hkuros173053en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-74949124065&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume13en_HK
dc.identifier.issue3en_HK
dc.identifier.spage316en_HK
dc.identifier.epage338en_HK
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridSheldon Lin, X=6508104592en_HK
dc.identifier.scopusauthoridTan, KS=35325520900en_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK

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