메뉴 건너뛰기




Volumn 9, Issue 1, 2005, Pages 57-72

Optimal Design of a Perpetual Equity-Indexed Annuity

Author keywords

[No Author keywords available]

Indexed keywords


EID: 29144494301     PISSN: 10920277     EISSN: None     Source Type: Journal    
DOI: 10.1080/10920277.2005.10596184     Document Type: Article
Times cited : (10)

References (27)
  • 1
    • 84948626164 scopus 로고
    • Pricing of Unit-Linked Life Insurance Policies
    • AASE, KNUT K., and SVEIN-ARNE PERSSON. 1994. Pricing of Unit-Linked Life Insurance Policies. Scandinavian Actuarial Journal 1: 26-52.
    • (1994) Scandinavian Actuarial Journal , vol.1 , pp. 26-52
    • Aase, K.1    Persson, S.-A.2
  • 2
    • 85011193542 scopus 로고    scopus 로고
    • ADVANTAGE GROUP. 2001. Online at www.indexannuity.org, accessed 31 December.
    • (2001)
  • 4
    • 0002802708 scopus 로고
    • On the Risk of Stocks in the Long Run
    • BODIE, ZVI. 1995. On the Risk of Stocks in the Long Run. Financial Analysts Journal 51(3): 18-22.
    • (1995) Financial Analysts Journal , vol.51 , Issue.3 , pp. 18-22
    • Bodie, Z.V.I.1
  • 5
    • 0001018312 scopus 로고
    • The Pricing of Equity-Linked Life Insurance Policies with an Asset Value Guarantee
    • BRENNAN, MICHAEL J., and EDUARDO S. SCHWARTZ. 1976. The Pricing of Equity-Linked Life Insurance Policies with an Asset Value Guarantee. Journal of Financial Economics 3: 195-213.
    • (1976) Journal of Financial Economics , vol.3 , pp. 195-213
    • Brennan, M.1    Eduardo, S.2
  • 6
    • 0003423896 scopus 로고
    • Controlled Markov Processes and Viscosity Solutions
    • New York: Springer
    • FLEMING, WENDELL H., and H. M. SONER. 1993. Controlled Markov Processes and Viscosity Solutions. Applications of Mathematics 25. New York: Springer.
    • (1993) Applications of Mathematics , pp. 25
    • Fleming, W.1    Soner, H.M.2
  • 8
    • 85011140446 scopus 로고    scopus 로고
    • Pricing Dynamic Investment Fund Protection
    • Discussions 37-41 and 5(1): 153-57
    • GERBER, HANS U., and GERARD PAFUMI. 2000. Pricing Dynamic Investment Fund Protection. North American Actuarial Journal 4(2): 28-37; Discussions 37-41 and 5(1): 153-57.
    • (2000) North American Actuarial Journal , vol.4 , Issue.2 , pp. 28-37
    • Gerber, H.1    Gerard, P.2
  • 9
    • 85011221804 scopus 로고    scopus 로고
    • Pricing Perpetual Fund Protection with Withdrawal Option
    • Discussions 77-92 and 8(1) (2004): 96-99
    • GERBER, HANS U., and ELIAS S. W. SHIU. 2003. Pricing Perpetual Fund Protection with Withdrawal Option. North American Actuarial Journal 7(2): 60-77; Discussions 77-92 and 8(1) (2004): 96-99.
    • (2003) North American Actuarial Journal , vol.7 , Issue.2 , pp. 60-77
    • Gerber, H.1    Elias, S.2
  • 11
    • 85011139827 scopus 로고    scopus 로고
    • Dynamic Fund Protection
    • Discussion 49-51
    • IMAI, JUNICHI, and PHELIM P. BOYLE. 2001. Dynamic Fund Protection. North American Actuarial Journal 5(3): 31-49; Discussion 49-51.
    • (2001) North American Actuarial Journal , vol.5 , Issue.3 , pp. 31-49
    • Imai, J.1    Phelim, P.2
  • 13
    • 85011222708 scopus 로고    scopus 로고
    • Valuation of Equity-Indexed Annuities under Stochastic Interest Rates
    • LIN, X. SHELDON, and KEN SENG TAN. 2003. Valuation of Equity-Indexed Annuities under Stochastic Interest Rates. North American Actuarial Journal 7(4): 72-91.
    • (2003) North American Actuarial Journal , vol.7 , Issue.4 , pp. 72-91
    • Lin, X.1    Ken Seng, T.A.N.2
  • 14
    • 0003433397 scopus 로고
    • Revised edition. Cambridge, Mass.: Blackwell Publishers
    • MERTON, ROBERT C. 1992. Continuous-Time Finance. Revised edition. Cambridge, Mass.: Blackwell Publishers.
    • (1992) Continuous-Time Finance
    • Merton, R.1
  • 15
    • 85011141399 scopus 로고    scopus 로고
    • Hedging Equity-Linked Life Insurance Contracts
    • MØLLER, THOMAS. 2001. Hedging Equity-Linked Life Insurance Contracts. North American Actuarial Journal 5(2): 79-95.
    • (2001) North American Actuarial Journal , vol.5 , Issue.2 , pp. 79-95
    • Møller, T.1
  • 16
    • 0344082163 scopus 로고    scopus 로고
    • Pricing Equity-Indexed Pure Endowments via the Principle of Equivalent Utility
    • MOORE, KRISTEN S., and VIRGINIA R. YOUNG. 2003. Pricing Equity-Indexed Pure Endowments via the Principle of Equivalent Utility. Insurance: Mathematics & Economics 33: 497-516.
    • (2003) Insurance: Mathematics & Economics , vol.33 , pp. 497-516
    • Moore, K.1    Virginia, R.2
  • 19
    • 0010077792 scopus 로고    scopus 로고
    • Schaumburg, Ill.: Actuarial Foundation
    • PANJER, HARRY H., ED. 1998. Financial Economics. Schaumburg, Ill.: Actuarial Foundation.
    • (1998) Financial Economics
    • Panjer, H.1
  • 20
    • 0001579697 scopus 로고
    • Risk Aversion in the Small and in the Large
    • PRATT, JOHN W. 1964. Risk Aversion in the Small and in the Large. Econometrica 32: 122-36.
    • (1964) Econometrica , vol.32 , pp. 122-136
    • Pratt, J.1
  • 21
    • 0002405541 scopus 로고    scopus 로고
    • From Actuarial to Financial Valuation Principles
    • SCHWEIZER, MARTIN. 2001. From Actuarial to Financial Valuation Principles. Insurance: Mathematics and Economics 28(1): 31-47.
    • (2001) Insurance: Mathematics and Economics , vol.28 , Issue.1 , pp. 31-47
    • Schweizer, M.1
  • 22
    • 85011206248 scopus 로고    scopus 로고
    • Valuing Equity-Indexed Annuities
    • Discussions 163-70 and 5(3): 133-36
    • TIONG, SERENA. 2000. Valuing Equity-Indexed Annuities. North American Actuarial Journal 4(4): 149-63; Discussions 163-70 and 5(3): 133-36.
    • (2000) North American Actuarial Journal , vol.4 , Issue.4 , pp. 149-163
    • Tiong, S.1
  • 23
    • 21244474974 scopus 로고    scopus 로고
    • An Actuary Looks at Financial Insurance
    • March
    • WENDT, RICHARD Q. 1999. An Actuary Looks at Financial Insurance. Risk and Rewards 32(March): 4, 5, 17.
    • (1999) Risk and Rewards , vol.32
    • Wendt, R.1
  • 25
    • 85011227165 scopus 로고    scopus 로고
    • Equity-Indexed Life Insurance: Pricing and Reserving Using the Principle of Equivalent Utility
    • YOUNG, VIRGINIA R. 2003. Equity-Indexed Life Insurance: Pricing and Reserving Using the Principle of Equivalent Utility. North American Actuarial Journal 7(1): 68-86.
    • (2003) North American Actuarial Journal , vol.7 , Issue.1 , pp. 68-86
    • Young, V.1
  • 26
    • 0042278806 scopus 로고    scopus 로고
    • Computation of Distorted Probabilities for Diffusion Processes via Stochastic Control Methods
    • YOUNG, VIRGINIA R., and THALEIA ZARIPHOPOULOU. 2000. Computation of Distorted Probabilities for Diffusion Processes via Stochastic Control Methods. Insurance: Mathematics & Economics 27: 1-18.
    • (2000) Insurance: Mathematics & Economics , vol.27 , pp. 1-18
    • Young, V.1    Thaleia, Z.2
  • 27
    • 85011250320 scopus 로고    scopus 로고
    • Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
    • YOUNG, VIRGINIA R., and THALEIA ZARIPHOPOULOU. 2002. Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility. Scandinavian Actuarial Journal 4: 246-79.
    • (2002) Scandinavian Actuarial Journal , vol.4 , pp. 246-279
    • Young, V.1    Thaleia, Z.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.