Valuation of Equity-indexed Annuities with Stochastic Interest Rate and Jump Diffusion

Linyi Qian, Rongming Wang and Qian Zhao

Communications in Statistics - Theory and Methods, 2014, vol. 43, issue 14, 2870-2885

Abstract: This article considers the pricing of equity-indexed annuity (EIA). By employing the change of measure technique, we derive the closed-form solutions for the prices of both point-to-point and annual reset equity-indexed annuities. We also provide numerical results to illustrate the method and computational efficiency of our simulation scheme and the effects of various model parameters on the participation rate.

Date: 2014
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DOI: 10.1080/03610926.2012.690488

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