Da Fonseca, José2024-01-302024-01-302024-01-22Insurance: Mathematics and Economics, ISSN: 0167-6687 (Print), Elsevier BV, 115, 122-131. doi: 10.1016/j.insmatheco.2024.01.0040167-6687http://hdl.handle.net/10292/17158This 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.http://creativecommons.org/licenses/by/4.0/4901 Applied Mathematics3502 Banking, Finance and Investment49 Mathematical Sciences35 Commerce, Management, Tourism and Services3 Good Health and Well Being01 Mathematical Sciences14 Economics15 Commerce, Management, Tourism and ServicesStatistics & Probability35 Commerce, management, tourism and services38 Economics49 Mathematical sciencesJournal ArticleOpenAccess10.1016/j.insmatheco.2024.01.004