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A Generalized Modeling Framework for Guaranteed Annuity Options

A Generalized Modeling Framework for Guaranteed Annuity Options This abstract describes a paper that introduces a generalized pricing framework for annuity-contingent derivatives where dependence ...
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Description: This abstract describes a paper that introduces a generalized pricing framework for annuity-contingent derivatives where dependence between mortality and interest rate risks are explicitly modeled.
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- Authors: Milos Miljanovic, Huan Gao, ROGEMAR SOMBONG MAMON
- Date: Feb 2014

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A Generalized Modeling Framework for Guaranteed Annuity Options