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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.

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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