A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions (Q2442519): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions	scientific article

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instance of

scholarly article

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title

A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions (English)

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Insurance Mathematics \& Economics

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publication date

3 April 2014

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zbMATH Keywords

guaranteed minimum withdrawal benefits

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rollup interest rate guarantees

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deferred variable annuity

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tree model

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surrender options

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.insmatheco.2012.12.005

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cites work

Valuation of guaranteed annuity conversion options.

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The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case

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A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities

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Guaranteed Annuity Options

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The effect of modelling parameters on the value of GMWB guarantees

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A binomial model for valuing equity-linked policies embedding surrender options

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Option pricing: A simplified approach

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Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree

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GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES

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A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks

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Financial valuation of guaranteed minimum withdrawal benefits

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The valuation of unit-linked policies with or without surrender options

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Identifiers

zbMATH Open document ID

1284.91279

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DOI

10.1016/j.insmatheco.2012.12.005

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2442519

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+https://doi.org/10.1016/j.insmatheco.2012.12.005
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+W1972807868
@@ Property / OpenAlex ID: W1972807868 / rank @@
+Normal rank
@@ Property / cites work @@
+Valuation of guaranteed annuity conversion options.
+Normal rank
@@ Property / cites work @@
+The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
+Normal rank
@@ Property / cites work @@
+A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
+Normal rank
@@ Property / cites work @@
+Guaranteed Annuity Options
@@ Property / cites work: Guaranteed Annuity Options / rank @@
+Normal rank
@@ Property / cites work @@
+The effect of modelling parameters on the value of GMWB guarantees
+Normal rank
@@ Property / cites work @@
+A binomial model for valuing equity-linked policies embedding surrender options
+Normal rank
@@ Property / cites work @@
+Option pricing: A simplified approach
@@ Property / cites work: Option pricing: A simplified approach / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree
+Normal rank
@@ Property / cites work @@
+GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
+Normal rank
@@ Property / cites work @@
+A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks
+Normal rank
@@ Property / cites work @@
+Financial valuation of guaranteed minimum withdrawal benefits
+Normal rank
@@ Property / cites work @@
+The valuation of unit-linked policies with or without surrender options
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:2442519