<?xml version="1.0" encoding="utf-8"?>
<TEI xmlns="http://www.tei-c.org/ns/1.0" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xmlns:hal="http://hal.archives-ouvertes.fr/" xmlns:gml="http://www.opengis.net/gml/3.3/" xmlns:gmlce="http://www.opengis.net/gml/3.3/ce" version="1.1" xsi:schemaLocation="http://www.tei-c.org/ns/1.0 http://api.archives-ouvertes.fr/documents/aofr-sword.xsd">
  <teiHeader>
    <fileDesc>
      <titleStmt>
        <title>HAL TEI export of hal-00721963</title>
      </titleStmt>
      <publicationStmt>
        <distributor>CCSD</distributor>
        <availability status="restricted">
          <licence target="https://creativecommons.org/publicdomain/zero/1.0/">CC0 1.0 - Universal</licence>
        </availability>
        <date when="2026-05-25T01:43:03+02:00"/>
      </publicationStmt>
      <sourceDesc>
        <p part="N">HAL API Platform</p>
      </sourceDesc>
    </fileDesc>
  </teiHeader>
  <text>
    <body>
      <listBibl>
        <biblFull>
          <titleStmt>
            <title xml:lang="en">Pricing Ratchet equity-indexed annuities with early surrender risk in a CIR++ model</title>
            <author role="aut">
              <persName>
                <forename type="first">Xiao</forename>
                <surname>Wei</surname>
              </persName>
              <idno type="halauthorid">651775-0</idno>
              <orgName ref="#struct-0"/>
              <affiliation ref="#struct-179801"/>
            </author>
            <author role="aut">
              <persName>
                <forename type="first">Marcellino</forename>
                <surname>Gaudenzi</surname>
              </persName>
              <idno type="halauthorid">651766-0</idno>
              <orgName ref="#struct-358631"/>
              <affiliation ref="#struct-179801"/>
            </author>
            <author role="aut">
              <persName>
                <forename type="first">Antonino</forename>
                <surname>Zanette</surname>
              </persName>
              <idno type="halauthorid">142831-0</idno>
              <orgName ref="#struct-358631"/>
              <affiliation ref="#struct-179801"/>
            </author>
            <editor role="depositor">
              <persName>
                <forename>Martine</forename>
                <surname>Verneuille</surname>
              </persName>
              <email type="md5">80ff217070f500c6199f8c31f92c7210</email>
              <email type="domain">inria.fr</email>
            </editor>
          </titleStmt>
          <editionStmt>
            <edition n="v1" type="current">
              <date type="whenSubmitted">2012-07-31 11:02:57</date>
              <date type="whenModified">2025-10-01 14:24:03</date>
              <date type="whenReleased">2012-07-31 12:26:49</date>
              <date type="whenProduced">2013-09-12</date>
              <date type="whenEndEmbargoed">2012-07-31</date>
              <ref type="file" target="https://inria.hal.science/hal-00721963v1/document">
                <date notBefore="2012-07-31"/>
              </ref>
              <ref type="file" subtype="author" n="1" target="https://inria.hal.science/hal-00721963v1/file/RR-8034.pdf" id="file-721963-291622">
                <date notBefore="2012-07-31"/>
              </ref>
              <ref type="externalLink" target="https://hal.inria.fr/hal-00721963/file/RR-8034.pdf"/>
            </edition>
            <respStmt>
              <resp>contributor</resp>
              <name key="132026">
                <persName>
                  <forename>Martine</forename>
                  <surname>Verneuille</surname>
                </persName>
                <email type="md5">80ff217070f500c6199f8c31f92c7210</email>
                <email type="domain">inria.fr</email>
              </name>
            </respStmt>
          </editionStmt>
          <publicationStmt>
            <distributor>CCSD</distributor>
            <idno type="halId">hal-00721963</idno>
            <idno type="halUri">https://inria.hal.science/hal-00721963</idno>
            <idno type="halBibtex">wei:hal-00721963</idno>
            <idno type="halRefHtml">&lt;i&gt;North American Actuarial Journal&lt;/i&gt;, 2013, 17 (3), pp.229-252. &lt;a target="_blank" href="https://dx.doi.org/10.1080/10920277.2013.826126"&gt;&amp;#x27E8;10.1080/10920277.2013.826126&amp;#x27E9;&lt;/a&gt;</idno>
            <idno type="halRef">North American Actuarial Journal, 2013, 17 (3), pp.229-252. &amp;#x27E8;10.1080/10920277.2013.826126&amp;#x27E9;</idno>
            <availability status="restricted">
              <licence target="https://about.hal.science/hal-authorisation-v1/">HAL Authorization<ref corresp="#file-721963-291622"/></licence>
            </availability>
          </publicationStmt>
          <seriesStmt>
            <idno type="stamp" n="ENPC" corresp="PARISTECH">École nationale des ponts et chaussées </idno>
            <idno type="stamp" n="INRIA">INRIA - Institut National de Recherche en Informatique et en Automatique</idno>
            <idno type="stamp" n="INRIA-ROCQ">INRIA Paris - Rocquencourt</idno>
            <idno type="stamp" n="PARISTECH">ParisTech</idno>
            <idno type="stamp" n="INRIA_TEST">INRIA - Institut National de Recherche en Informatique et en Automatique</idno>
            <idno type="stamp" n="TESTALAIN1">TESTALAIN1</idno>
            <idno type="stamp" n="INRIA2">INRIA 2</idno>
            <idno type="stamp" n="UNIV-EIFFEL">Université Gustave Eiffel</idno>
            <idno type="stamp" n="UPEM-UNIVEIFFEL">Université Paris-Est Marne-la-Vallée</idno>
          </seriesStmt>
          <notesStmt>
            <note type="audience" n="2">International</note>
            <note type="report" n="6">Research Report</note>
            <note type="popular" n="0">No</note>
            <note type="peer" n="1">Yes</note>
          </notesStmt>
          <sourceDesc>
            <biblStruct>
              <analytic>
                <title xml:lang="en">Pricing Ratchet equity-indexed annuities with early surrender risk in a CIR++ model</title>
                <author role="aut">
                  <persName>
                    <forename type="first">Xiao</forename>
                    <surname>Wei</surname>
                  </persName>
                  <idno type="halauthorid">651775-0</idno>
                  <orgName ref="#struct-0"/>
                  <affiliation ref="#struct-179801"/>
                </author>
                <author role="aut">
                  <persName>
                    <forename type="first">Marcellino</forename>
                    <surname>Gaudenzi</surname>
                  </persName>
                  <idno type="halauthorid">651766-0</idno>
                  <orgName ref="#struct-358631"/>
                  <affiliation ref="#struct-179801"/>
                </author>
                <author role="aut">
                  <persName>
                    <forename type="first">Antonino</forename>
                    <surname>Zanette</surname>
                  </persName>
                  <idno type="halauthorid">142831-0</idno>
                  <orgName ref="#struct-358631"/>
                  <affiliation ref="#struct-179801"/>
                </author>
              </analytic>
              <monogr>
                <idno type="localRef">RR-8034</idno>
                <idno type="halJournalId" status="VALID">88173</idno>
                <idno type="issn">1092-0277</idno>
                <idno type="eissn">2325-0453</idno>
                <title level="j">North American Actuarial Journal</title>
                <imprint>
                  <publisher>Society of Actuaries</publisher>
                  <biblScope unit="volume">17</biblScope>
                  <biblScope unit="issue">3</biblScope>
                  <biblScope unit="pp">229-252</biblScope>
                  <date type="datePub">2013-09-12</date>
                </imprint>
              </monogr>
              <idno type="doi">10.1080/10920277.2013.826126</idno>
            </biblStruct>
          </sourceDesc>
          <profileDesc>
            <langUsage>
              <language ident="en">English</language>
            </langUsage>
            <textClass>
              <classCode scheme="halDomain" n="math.math-pr">Mathematics [math]/Probability [math.PR]</classCode>
              <classCode scheme="halTypology" n="ART">Journal articles</classCode>
              <classCode scheme="halOldTypology" n="ART">Journal articles</classCode>
              <classCode scheme="halTreeTypology" n="ART">Journal articles</classCode>
            </textClass>
            <abstract xml:lang="en">
              <p>In connection with a problem posed by Kijima and Wong \cite{kw}, we propose a lattice algorithm for pricing simple Ratchet equity-indexed annuities (EIAs) with early surrender risk and global minimum contract value when the asset value depends on the CIR++ stochastic interest rates. In addition we present an asymptotic expansion technique which permits to obtain a first order approximation formula for the price of simple Ratchet EIAs without early surrender risk and without global minimum contract value. Numerical comparisons show the reliability of the proposed methods.</p>
            </abstract>
            <abstract xml:lang="fr">
              <p>Suite au problème posé par Kijima et Wong, nous proposons un algorithme de treillis pour le pricing du Ratchet sur action avec risque de rachat anticipé. Il inclut aussi une valeur minimale globale lorsque l'actif dépend du processus CIR++ du taux d'intérêt. Par ailleurs, nous présentons une technique de développement asymptotique permettant une approximation de premier ordre pour le prix du Ratchet EIAs, sans risque de rachat anticipé ni valeur minimale. Des expériences numériques montrent une bonne qualité des résultats obtenus par la méthode proposée.</p>
            </abstract>
          </profileDesc>
        </biblFull>
      </listBibl>
    </body>
    <back>
      <listOrg type="structures">
        <org type="researchteam" xml:id="struct-179801" status="OLD">
          <idno type="RNSR">201221215M</idno>
          <orgName>Mathematical Risk handling</orgName>
          <orgName type="acronym">MATHRISK</orgName>
          <date type="start">2012-01-01</date>
          <date type="end">2015-12-31</date>
          <desc>
            <address>
              <country key="FR"/>
            </address>
            <ref type="url">http://www.inria.fr/equipes/mathrisk</ref>
          </desc>
          <listRelation>
            <relation active="#struct-86790" type="direct"/>
            <relation active="#struct-300009" type="indirect"/>
            <relation active="#struct-301243" type="direct"/>
            <relation active="#struct-301545" type="direct"/>
          </listRelation>
        </org>
        <org type="laboratory" xml:id="struct-86790" status="OLD">
          <orgName>Inria Paris-Rocquencourt</orgName>
          <date type="end">2016-03-30</date>
          <desc>
            <address>
              <addrLine>INRIA Rocquencourt : Domaine de Voluceau, Rocquencourt B.P. 105 78153 le Chesnay Cedex</addrLine>
              <country key="FR"/>
            </address>
            <ref type="url">http://www.inria.fr/centre/paris-rocquencourt</ref>
          </desc>
          <listRelation>
            <relation active="#struct-300009" type="direct"/>
          </listRelation>
        </org>
        <org type="institution" xml:id="struct-300009" status="VALID">
          <idno type="ROR">https://ror.org/02kvxyf05</idno>
          <orgName>Institut National de Recherche en Informatique et en Automatique</orgName>
          <orgName type="acronym">Inria</orgName>
          <desc>
            <address>
              <addrLine>Domaine de VoluceauRocquencourt - BP 10578153 Le Chesnay Cedex</addrLine>
              <country key="FR"/>
            </address>
            <ref type="url">http://www.inria.fr/en/</ref>
          </desc>
        </org>
        <org type="institution" xml:id="struct-301243" status="OLD">
          <idno type="IdRef">030820499</idno>
          <idno type="ISNI">0000000115124813</idno>
          <idno type="ROR">https://ror.org/02aqt9c37</idno>
          <orgName>Université Paris-Est Marne-la-Vallée</orgName>
          <orgName type="acronym">UPEM</orgName>
          <date type="start">1991-07-22</date>
          <date type="end">2019-12-31</date>
          <desc>
            <address>
              <addrLine>5 boulevard Descartes - Champs-sur-Marne - 77454 Marne-la-Vallée Cedex 2</addrLine>
              <country key="FR"/>
            </address>
            <ref type="url">http://www.u-pem.fr/</ref>
          </desc>
        </org>
        <org type="institution" xml:id="struct-301545" status="OLD">
          <idno type="ROR">https://ror.org/02nwvxz07</idno>
          <orgName>École nationale des ponts et chaussées</orgName>
          <orgName type="acronym">ENPC</orgName>
          <date type="start">1747-02-14</date>
          <date type="end">2024-12-31</date>
          <desc>
            <address>
              <addrLine>École nationale des ponts et chaussées, 6-8 avenue Blaise-Pascal, Cité Descartes, Champs-sur-Marne, 77455 Marne-la-Vallée cedex 2</addrLine>
              <country key="FR"/>
            </address>
            <ref type="url">https://ecoledesponts.fr/</ref>
          </desc>
        </org>
      </listOrg>
    </back>
  </text>
</TEI>