Pricing Ratchet equity-indexed annuities with early surrender risk in a CIR++ model

Xiao Wei; Marcellino Gaudenzi; Antonino Zanette

hal-00721963, version 1

Pricing Ratchet equity-indexed annuities with early surrender risk in a CIR++ model

Xiao Wei^a^, 1, Marcellino Gaudenzi^b^, 1, Antonino Zanette^b^, 1

N° RR-8034 (2012)

Résumé : In connection with a problem posed by Kijima and Wong \cite{kw}, we propose a lattice algorithm for pricing simple Ratchet equity-indexed annuities (EIAs) with early surrender risk and global minimum contract value when the asset value depends on the CIR++ stochastic interest rates. In addition we present an asymptotic expansion technique which permits to obtain a first order approximation formula for the price of simple Ratchet EIAs without early surrender risk and without global minimum contract value. Numerical comparisons show the reliability of the proposed methods.

a – China Institute for Actuarial Science
b – Università di Udine
1 : MATHRISK (INRIA Paris-Rocquencourt)
INRIA – Ecole des Ponts ParisTech – Université Paris-Est Marne-la-Vallée (UPEMLV)

hal-00721963, version 1
http://hal.inria.fr/hal-00721963
oai:hal.inria.fr:hal-00721963
Contributeur : Martine Verneuille <>
Soumis le : Mardi 31 Juillet 2012, 11:02:57
Dernière modification le : Mercredi 1 Août 2012, 09:31:52

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