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The design of equity-indexed annuities · Study

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ArticleThe design of equity-indexed annuities

Phelim P. Boyle2008

Article2008

The design of equity-indexed annuities

Phelim P. Boyle · Weidong Tian

46 citations·0/0 files stored·Insurance Mathematics and Economics

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Stochastic processes and financial applications Insurance and Financial Risk Management Risk and Portfolio Optimization

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1971Optimum consumption and portfolio rules in a continuous-time model 1979Martingales and arbitrage in multiperiod securities markets 1981Martingales and stochastic integrals in the theory of continuous trading 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process 1985Option Pricing and Replication with Transactions Costs

Cited by

2017Moment matching machine learning methods for risk management of large variable annuity portfolios 1994Consumption-Portfolio Policies: An Inverse Optimal Problem 2010On the optimal design of insurance contracts with guarantees 2009A Note on the Suboptimality of Path-Dependent Pay-Offs in Lévy Markets 2010Valuation of equity-indexed annuity under stochastic mortality and interest rate 2012Variable annuities and the option to seek risk: Why should you diversify?

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Year2008

Typearticle

Published2008-05-16

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations46

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.insmatheco.2008.05.006

openalex_workW2012511545

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