zbMATH — the first resource for mathematics

Valueing equity-indexed annuities with mortality risks. (Chinese. English summary) Zbl 1174.62560
Summary: Equity-indexed annuities are a new kind of annuitiesa whose development started in the US and European markets in the last ten years. A typical equity-indexed annuity guarantees a minimum return on a portion of the initial invested amount. In addition to this minimum guarantee, the annuitant receives some participation in the appreciation of a pre-determined stock index. This paper discusses how to value an equity-indexed annuity with mortality risks by the point to point and annual reset method. It also gives suitable formulas and a sensitivity analysis.
62P05 Applications of statistics to actuarial sciences and financial mathematics
91B28 Finance etc. (MSC2000)