Pricing Guaranteed Annuity Options in a Linear-Rational Wishart Mortality Model

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aut.relation.endpage131
aut.relation.journalInsurance: Mathematics and Economics
aut.relation.startpage122
aut.relation.volume115
dc.contributor.authorDa Fonseca, José
dc.date.accessioned2024-01-30T03:23:16Z
dc.date.available2024-01-30T03:23:16Z
dc.date.issued2024-01-22
dc.description.abstractThis paper proposes a new model, the linear-rational Wishart model, which allows the joint modelling of mortality and interest rate risks. Within this framework, we obtain closed-form solutions for the survival bond and the survival floating rate bond. We also derive a closed-form solution for the guaranteed annuity option, i.e., an option on a sum of survival (floating rate) bonds, which can be computed explicitly up to a one-dimensional numerical integration, independent of the model dimension. Using realistic parameter values, we provide a model implementation for these complex derivatives that illustrates the flexibility and efficiency of the linear-rational Wishart model.
dc.identifier.citationInsurance: Mathematics and Economics, ISSN: 0167-6687 (Print), Elsevier BV, 115, 122-131. doi: 10.1016/j.insmatheco.2024.01.004
dc.identifier.doi10.1016/j.insmatheco.2024.01.004
dc.identifier.issn0167-6687
dc.identifier.urihttp://hdl.handle.net/10292/17158
dc.languageen
dc.publisherElsevier BV
dc.relation.urihttps://www.sciencedirect.com/science/article/pii/S0167668724000106
dc.rights.accessrightsOpenAccess
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/
dc.subject4901 Applied Mathematics
dc.subject3502 Banking, Finance and Investment
dc.subject49 Mathematical Sciences
dc.subject35 Commerce, Management, Tourism and Services
dc.subject3 Good Health and Well Being
dc.subject01 Mathematical Sciences
dc.subject14 Economics
dc.subject15 Commerce, Management, Tourism and Services
dc.subjectStatistics & Probability
dc.subject35 Commerce, management, tourism and services
dc.subject38 Economics
dc.subject49 Mathematical sciences
dc.titlePricing Guaranteed Annuity Options in a Linear-Rational Wishart Mortality Model
dc.typeJournal Article
pubs.elements-id536052
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