Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization (Q2347054): Difference between revisions

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+W2017809994
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+.5453
@@ Property / arXiv ID: 1411.5453 / rank @@
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+A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
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+Markov decision processes with applications to finance.
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+A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
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+GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
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+Modeling and Forecasting U.S. Mortality
@@ Property / cites work: Modeling and Forecasting U.S. Mortality / rank @@
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+Financial valuation of guaranteed minimum withdrawal benefits
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+Approximate Dynamic Programming
@@ Property / cites work: Approximate Dynamic Programming / rank @@
+Normal rank