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Reset and withdrawal rights in dynamic fund protection

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  • Chu, Chi Chiu
  • Kwok, Yue Kuen
Abstract
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Suggested Citation

  • Chu, Chi Chiu & Kwok, Yue Kuen, 2004. "Reset and withdrawal rights in dynamic fund protection," Insurance: Mathematics and Economics, Elsevier, vol. 34(2), pages 273-295, April.
    • Handle: RePEc:eee:insuma:v:34:y:2004:i:2:p:273-295
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    References listed on IDEAS

    as
    1. Hoi Wong & Yue Kwok, 2003. "Sub-Replication and Replenishing Premium: Efficient Pricing of Multi-State Lookbacks," Review of Derivatives Research, Springer, vol. 6(2), pages 83-106, May.
    2. Hans Gerber & Gérard Pafumi, 2000. "Pricing Dynamic Investment Fund Protection," North American Actuarial Journal, Taylor & Francis Journals, vol. 4(2), pages 28-37.
    3. Hon-Kwok Fung & Leong Kwan Li, 2003. "Pricing Discrete Dynamic Fund Protections," North American Actuarial Journal, Taylor & Francis Journals, vol. 7(4), pages 23-31.
    4. Avinash K. Dixit & Robert S. Pindyck, 1994. "Investment under Uncertainty," Economics Books, Princeton University Press, edition 1, number 5474.
    5. Hans Gerber & Elias Shiu, 2003. "Pricing Perpetual Fund Protection with Withdrawal Option," North American Actuarial Journal, Taylor & Francis Journals, vol. 7(2), pages 60-77.
    6. Min Dai & Yue Kuen Kwok & Li Xin Wu, 2003. "Options with Multiple Reset Rights," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(06), pages 637-653.
    7. Heath Windcliff & Martin Le Roux & Peter Forsyth & Kenneth Vetzal, 2002. "Understanding the Behavior and Hedging of Segregated Funds Offering the Reset Feature," North American Actuarial Journal, Taylor & Francis Journals, vol. 6(2), pages 107-124.
    8. Serena Tiong, 2000. "Valuing Equity-Indexed Annuities," North American Actuarial Journal, Taylor & Francis Journals, vol. 4(4), pages 149-163.
    9. Junichi Imai & Phelim Boyle, 2001. "Dynamic Fund Protection," North American Actuarial Journal, Taylor & Francis Journals, vol. 5(3), pages 31-47.
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    Cited by:

    1. Christophette Blanchet-Scalliet & Etienne Chevalier & Idris Kharroubi & Thomas Lim, 2015. "Max–Min Optimization Problem For Variable Annuities Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(08), pages 1-35, December.
    2. Wong, Hoi Ying & Chan, Chun Man, 2007. "Lookback options and dynamic fund protection under multiscale stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 357-385, May.
    3. Min Dai & Yue Kuen Kwok & Jianping Zong, 2008. "Guaranteed Minimum Withdrawal Benefit In Variable Annuities," Mathematical Finance, Wiley Blackwell, vol. 18(4), pages 595-611, October.
    4. Leung, Kwai Sun & Kwok, Yue Kuen & Leung, Seng Yuen, 2008. "Finite-time dividend-ruin models," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 154-162, February.
    5. Linyi Qian & Zhuo Jin & Wei Wang & Lyu Chen, 2018. "Pricing dynamic fund protections for a hyperexponential jump diffusion process," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 47(1), pages 210-221, January.
    6. Han, Heejae & Jeon, Junkee & Kang, Myungjoo, 2016. "Pricing chained dynamic fund protection," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 267-278.

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