Pricing and Hedging Guaranteed Annuity Options via Static Option Replication

By Antoon Pelsser. 2003

103 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/081fae4785c35c333b4a674596b651c47dc16947

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Citations in the corpus

The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case (2006, unknown): “An alternative approach based on modelling the dynamics of the annuity price, rather than the underlying term structure of interest rates, has been used by Bezooyen et al. (1998), Pelsser (2003) and Wilkie et al. (2003).”
Reserving, Pricing and Hedging For Policies with Guaranteed Annuity Options (2003, background): “10.5.5 Pelsser (2002) develops the swaption idea further, showing that a life annuity (as we have defined it, i.e. an annuity certain with reducing payments) can be replicated by a series of coupon bonds equally as well as by a series of zero-coupon bonds.”
Robustly Hedging Variable Annuities with Guarantees under Jump and Volatility Risks (2007, methodology): “Recent research has applied no arbitrage pricing theory from finance to calculate the values of the embedded options in insurance contracts, see for example Brennan and Schwartz (1976,[7]), Boyle Schwartz (1977, [6]), Aase and Persson (1994, [1]), Boyle and Hardy (1997, [5]), Bacinello and Persson (”
The fair value of guaranteed annuity options (2006, unknown): “The pricing of GAOs has been tackled by several authors, e.g. by Van Bezooyen, Exley and Mehta (1998), Milevsky and Promislow (2001), Ballotta and Haberman (2003b,a), Boyle and Hardy (2003), Olivieri and Pitacco (2003), Pelsser (2003) and Wilkie, Waters and Yang (2003).”
Valuation of Guaranteed Annuity Conversion Options (2003, unknown): “In fact, as equation (18) shows, the short rate volatility, σr, is an increasing function of σ, while the bond price, and therefore the expected present value of the annuity payments, is a decreasing function of σr.”
PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS (2006, methodology): “The quality of both approximations in the CIR case is also excellent and comparable to stochastic duration and the approximation methods by Collin-Dufresne and Goldstein (2002) and Singleton and Umantsev (2002). This again conrms our conjecture that we can freeze the LVM at their martingale values.”
Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk* (2006, background): “The approach that we take here is also in the spirit of the Pelsser (2003) analysis of the pricing of guaranteed annuity options.”