Reserving, Pricing and Hedging For Policies with Guaranteed Annuity Options

By A. Wilkie, H. Waters, Sharon S. Yang. 2003

64 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5b19bb178e57ffe9855b99526a0ea3a90b4a53ec

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. Elena Vigna
3. Kevin Dowd
4. David P. Blake
5. Mary R. Hardy
6. H. Booth
7. L. Tickle
8. Johnny Siu-Hang Li

In Economics and Econometrics

1. Andrew J. G. Cairns
2. H. Booth
3. L. Tickle

In Finance

1. Andrew J. G. Cairns
2. Elena Vigna
3. David P. Blake
4. Kevin Dowd

Citations in the corpus

• A FAMILY OF TERM‐STRUCTURE MODELS FOR LONG‐TERM RISK MANAGEMENT AND DERIVATIVE PRICING (2004, background): “As interest rates in the early 2000s fell to historical lows, this work has become very important, particularly as a result of substantial increases in the value of interest-rate guarantees issued by some insurance companies on a variety of contracts (e.g., see Waters, Wilkie, and Yang 2003).”
• Pricing and Hedging Guaranteed Annuity Options via Static Option Replication (2003, unknown): “See, for example, the results reported by Wilkie, Waters and Yang (2003, Table 2.5.1).”
• 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).”