Valuation of Guaranteed Annuity Conversion Options

By Laura Ballotta, Steven Haberman. 2003

132 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/6b161d976edb5b8eca71f6b486f3c7395ce4432f

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Citations in the corpus

Pricing Annuity Guarantees Under a Regime-Switching Model (2009, methodology): “Boyle and Hardy (2003) and Ballotta and Haberman (2003) studied guaranteed annuity options. Although there are numerous discussions on the valuation of variable annuities, only a few can be found in the academic literature. Milevsky and Posner (2001) and Milevsky and Salisbury (2006) priced various ”
The fair value of guaranteed annuity options (2006, unknown): “We exploit a parallel between defaultable securities and insurance contracts first suggested in Artzner and Delbaen (1995) and exploited in Milevsky and Promislow (2001) and Biffis (2003, 2004). We may regard annuities, for example, as defaultable coupon bonds (or consols) with zero recovery. Of cou”
The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case (2006, unknown): “The analysis carried out is an extension of a similar study performed by Ballotta and Haberman (2003).”
Pricing and Hedging Guaranteed Annuity Options via Static Option Replication (2003, unknown): “For example, the choice bS(t) = σ/κ(1 − e−κ(S−t)) leads to the well-known Vasicek–Hull–White model that is used in the papers by Ballotta and Haberman (2002), Wilkie et al. (2003) and Boyle and Hardy (2003) to determine prices of GAOs.”
Modelling and Valuation of Guarantees in With-Profit and Unitised with Profit Life Insurance Contracts (2003, background): “…relative to the guaranteed rates implicit in many types of policy design - this has led to the collapse of Nissan Mutual Life in Japan in 1997 (see Grosen and Jørgensen, 2002) and the closing of Equitable Life in 2000 in the UK to new business (see Ballotta and Haberman, 2002, for further details).”
Reserving, Pricing and Hedging For Policies with Guaranteed Annuity Options (2003, result): “10.1.2 The analogy between GAOs and other types of financial option has been brought out by other authors, including Bolton et al. (1997), Van Bezooyen, Exley & Mehta (1998), Pelsser (2002) and Balotta & Haberman (2002).”
Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility (2009, methodology): “Our paper can be placed in the derivative pricing literature on stochastic volatility models as it adds to or extends work by Stein and Stein (1991), Heston (1993), Schöbel and Zhu (1999) or, since our model can be placed in the affine class, in the more general context of Duffie et al.”
Optimal strategies for pricing general insurance (2007, background): “, Haberman, S. & Savoulli, I. (2006). Optimal strategies for pricing general insurance (Report No.”