ORCID Profile
0000-0002-4784-7765
Current Organisations
Monash University
,
RMIT University
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Publisher: Elsevier BV
Date: 2021
DOI: 10.2139/SSRN.3774556
Publisher: Elsevier BV
Date: 10-2022
Publisher: Elsevier BV
Date: 10-2023
Publisher: Virtus Interpress
Date: 2015
Abstract: We propose a model for valuing equity linked annuity (ELA) products under a generalized gamma model with a Markov-switching compensator. We suppose that the market interest rate and all the parameters of the underlying reference portfolio switch over time according to the state of an economy, which is modelled by a continuous-time Markov chain. The model considered here can provide market practitioners with flexibility in modelling the dynamics of the reference portfolio. We price the ELA by pricing its embedded options, for which we employ the regime-switching version of Esscher transform to determine the pricing kernel. A system of coupled partial-differential-integral equations satisfied by the embedded option prices is derived. Simulation results of the model have been presented and discussed
Publisher: Elsevier BV
Date: 02-2016
Publisher: Wiley
Date: 25-02-2019
DOI: 10.1111/GCB.14537
Publisher: Informa UK Limited
Date: 31-10-2018
Publisher: Elsevier BV
Date: 02-2019
Publisher: Elsevier BV
Date: 05-2018
Publisher: Springer Science and Business Media LLC
Date: 18-09-2021
No related grants have been discovered for armin pourkhanali.