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Article: Pricing annuity guarantees under a regime-switching model
Title | Pricing annuity guarantees under a regime-switching model |
---|---|
Authors | |
Issue Date | 2009 |
Publisher | Society 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? |
Abstract | We 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 Identifier | http://hdl.handle.net/10722/125413 |
ISSN | 2023 Impact Factor: 1.4 2023 SCImago Journal Rankings: 0.692 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Sheldon Lin, X | en_HK |
dc.contributor.author | Tan, KS | en_HK |
dc.contributor.author | Yang, H | en_HK |
dc.date.accessioned | 2010-10-31T11:29:58Z | - |
dc.date.available | 2010-10-31T11:29:58Z | - |
dc.date.issued | 2009 | en_HK |
dc.identifier.citation | North American Actuarial Journal, 2009, v. 13 n. 3, p. 316-338 | en_HK |
dc.identifier.issn | 1092-0277 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/125413 | - |
dc.description.abstract | We 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.language | eng | en_HK |
dc.publisher | Society of Actuaries. The Journal's web site is located at http://www.soa.org/ccm/content/?categoryID=767033 | en_HK |
dc.relation.ispartof | North American Actuarial Journal | en_HK |
dc.title | Pricing annuity guarantees under a regime-switching model | en_HK |
dc.type | Article | en_HK |
dc.identifier.openurl | http://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+Model | en_HK |
dc.identifier.email | Yang, H: hlyang@hku.hk | en_HK |
dc.identifier.authority | Yang, H=rp00826 | en_HK |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1080/10920277.2009.10597557 | - |
dc.identifier.scopus | eid_2-s2.0-74949124065 | en_HK |
dc.identifier.hkuros | 173053 | en_HK |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-74949124065&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 13 | en_HK |
dc.identifier.issue | 3 | en_HK |
dc.identifier.spage | 316 | en_HK |
dc.identifier.epage | 338 | en_HK |
dc.identifier.isi | WOS:000211863800002 | - |
dc.publisher.place | United States | en_HK |
dc.identifier.scopusauthorid | Sheldon Lin, X=6508104592 | en_HK |
dc.identifier.scopusauthorid | Tan, KS=35325520900 | en_HK |
dc.identifier.scopusauthorid | Yang, H=7406559537 | en_HK |
dc.identifier.issnl | 1092-0277 | - |