The fair value of guaranteed annuity options

By Enrico Biffis, Pietro Millossovich. 2006

87 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/3d1e4343ac3df39d1d40552b1a97216cd2d5a217

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Andrew J. G. Cairns
2. Kevin Dowd
3. David P. Blake
4. Elena Vigna
5. Thomas Møller
6. Martin Melchior
7. M. Dahl
8. Andrew Ngai

In Economics and Econometrics

1. Andrew J. G. Cairns
2. Kevin Dowd
3. David P. Blake
4. Thomas Møller
5. Martin Melchior
6. M. Dahl
7. Elena Vigna
8. Elisa Luciano

In Finance

1. Kevin Dowd
2. David P. Blake
3. Andrew J. G. Cairns
4. Thomas Møller
5. Martin Melchior
6. M. Dahl
7. Elena Vigna
8. Elisa Luciano

Citations in the corpus

• On systematic mortality risk and risk-minimization with survivor swaps (2008, background): “Marocco and Pitacco (1998), Milevsky and Promislow (2001), Dahl (2004), Cairns, Blake and Dowd (2004), Bis and Millossovich (2004) , Miltersen and Persson (2006) and references therein.”
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk* (2006, background): “Previous analyses of the role of systematic mortality risk in guaranteed annuity contracts include those of Yang (2001) and Biffis and Millossovich (2004).”
• Regression-based algorithms for life insurance contracts with surrender guarantees (2010, unknown): “…by using any security with strictly positive price process: while this may be preferable in some applications (e.g., Bacinello and Ortu 1994 and Biffis and Millossovich 2006), the use of S0 helps economic intuition when extending the market to include insurance securities (see section 2.3).”
• Valuation and hedging of life insurance liabilities with systematic mortality risk (2006, background): “Methods taken from: ❏ Mortality modeling (Dahl, 2004) ❏ Affine interest rate models (e.g. Björk) ❏ Incomplete financial markets (Schweizer, Møller) Some related work on mortality: Marocco/Pitacco (1998) Milevsky/Promislow (2001) Cairns, Blake and Dowd (2004) Biffis and Millossovich (2004) Outline: ”
• Affine Processes for Dynamic Mortality and Actuarial Valuations (2005, unknown): “This is particularly important for those products featuring embedded options depending on both sources of risk (see Biffis and Millossovich, 2004, for an application to guaranteed annuity options).”