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**The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case.**
*(English)*
Zbl 1101.60045

The aim of this work is to extend the valuation model for guaranteed annuity options proposed by the authors in order to allow for stochastic uncertainty in mortality trends. The behavior of this contract with respect to changes in market conditions and mortality risk has been analyzed with numerical examples and the sensitivity analysis presented.

Reviewer: George Stoica (Saint John)

### MSC:

60H30 | Applications of stochastic analysis (to PDEs, etc.) |

60H10 | Stochastic ordinary differential equations (aspects of stochastic analysis) |

65C05 | Monte Carlo methods |

91G20 | Derivative securities (option pricing, hedging, etc.) |

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\textit{L. Ballotta} and \textit{S. Haberman}, Insur. Math. Econ. 38, No. 1, 195--214 (2006; Zbl 1101.60045)

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