Value of Equity-Index Annuity with a Rate Cap Under Jump Diffusion Process

来源 :中国数量经济学会 | 被引量 : 0次 | 上传用户：minisnake1

【摘要】

：

【作者】

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Yang Hu Yang Junfang

【机构】

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College of Math&phys, Chongqing University

【出处】

：

中国数量经济学会

【发表日期】

：

2009年12期

【关键词】

：

Jump diffusion process Rate cap Participation rate Esscher transformation Risk-n

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　　Equity-Index Annuity (EIA) is a popular annuity in the American and European market.It earns a minimum rate of interest and offers a potential gain that is tied to the performance of a stock index,typically the standard and Poors 500 index.Traditional assumption for the stock index movement is unreasonable for the brusque variations of the stock index because of the important political or nature event.Due to the character of its design,it has a high premium.So lowdown its premium is an important way to bring it more competitive.Giving it an interest cap is a good method to low down its premium.In this paper,we discuss how to price lEA with a cap rate under the indexing methods of point supposed stock index follow jump diffusion process.

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Value of Equity-Index Annuity with a Rate Cap Under Jump Diffusion Process

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