3 papers
q-fin.MF2025
Free Lunches with Vanishing Risks Most Likely Exist
Eckhard Platen, Kevin Fergusson
The hypothesis that there do not exist free lunches with vanishing risk (FLVRs) in the real market underpins the popular risk-neutral pricing and hedging methodology in quantitativ…
q-fin.PR2019
Fair Pricing of Variable Annuities with Guarantees under the Benchmark Approach
Jin Sun, Kevin Fergusson, Eckhard Platen +1
In this paper we consider the pricing of variable annuities (VAs) with guaranteed minimum withdrawal benefits. We consider two pricing approaches, the classical risk-neutral approa…
q-fin.MF2017
Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity
Kevin Fergusson, Eckhard Platen
This paper proposes a paradigm shift in the valuation of long term annuities, away from classical no-arbitrage valuation towards valuation under the real world probability measure.…