Valuation of Ratchet Equity Indexed Annuities with Binomial Models

摘要：

The Equity Indexed Annuity contracts offer a proportional participation in the return on a specified equity index, in addition to a guaranteed return on the single premium. In the framework of Cox-Ross-Rubinstein model, we provide the practical lattice methods to price the simple and compound ratchet EIAs without any averaging, and extend to ones with geometric index averaging, which are not analytically tractable. Numerical results show that our lattice approach achieves a very high degree of accuracy compared with Monte Carlo simulation.

关键词： Equity Indexed Annuity Ratchet Binomial

作者: Haijian Zhao Jingfeng Xu Jian Liu

作者单位: Center for Combinatorics Nankai University Tianjin China China Institute for Actuarial Science Central University of Finance and Economics Beijing, China School of Banking and Finance University of International Business and Economics Beijing, China

会议类型: 国际会议

会议名称: 2011 International Conference on Economics, Business and Marketing Management(EBMM 2011)(2011年经济、商业和营销管理国际会议)

会议地点: 上海

会议语种:英文

页码: 574-578

在线出版日期: 2011-03-11（万方平台首次上网日期，不代表论文的发表时间）