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A Comonotonicity-based Valuation Method for Annuity-linked Contracts
A Comonotonicity-based Valuation Method for Annuity-linked Contracts This abstract describes a paper ... guaranteed annuity option (GAO) under a generalized modeling set-up where both interest and mortality risks ...- Authors: Xiaoming Liu, Huan Gao, ROGEMAR SOMBONG MAMON
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Annuities
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A Generalized Modeling Framework for Guaranteed Annuity Options
Generalized Modeling Framework for Guaranteed Annuity Options This abstract describes a paper that introduces ... pricing framework for annuity-contingent derivatives where dependence between mortality and interest rate ...- Authors: Milos Miljanovic, Huan Gao, ROGEMAR SOMBONG MAMON
- Date: Feb 2014