Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees (Q5001178): Difference between revisions

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scientific article; zbMATH DE number 7372440

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English	Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees	scientific article; zbMATH DE number 7372440

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instance of

scholarly article

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title

Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees (English)

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16 July 2021

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zbMATH Keywords

variable annuities

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lifelong withdrawal guarantees

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stochastic control models

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Monte Carlo simulation

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regression-based algorithms

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stochastic volatility

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/14697688.2015.1088962

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cites work

The Existence of Optimal Bang-Bang Controls for GMxB Contracts

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Regression-based algorithms for life insurance contracts with surrender guarantees

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EXACT SIMULATION OF THE 3/2 MODEL

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A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities

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Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes

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The effect of modelling parameters on the value of GMWB guarantees

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An analysis of a least squares regression method for American option pricing

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GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES

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An optimal stochastic control framework for determining the cost of hedging of variable annuities

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Applications of Malliavin calculus to Monte Carlo methods in finance

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Applications of Malliavin calculus to Monte-Carlo methods in finance. II

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Q4433608

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THE TRACKING ERROR RATE OF THE DELTA‐GAMMA HEDGING STRATEGY

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Comparison results for stochastic volatility models via coupling

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Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB)

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Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products

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Valuing American Options by Simulation: A Simple Least-Squares Approach

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A comparison of biased simulation schemes for stochastic volatility models

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Delta-gamma hedging of mortality and interest rate risk

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Financial valuation of guaranteed minimum withdrawal benefits

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Risk minimization in stochastic volatility models: model risk and empirical performance

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Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models

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Identifiers

zbMATH Open document ID

1468.91124

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DOI

10.1080/14697688.2015.1088962

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5001178

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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1080/14697688.2015.1088962
+Normal rank
@@ Property / OpenAlex ID @@
+W1816178435
@@ Property / OpenAlex ID: W1816178435 / rank @@
+Normal rank
@@ Property / cites work @@
+The Existence of Optimal Bang-Bang Controls for GMxB Contracts
+Normal rank
@@ Property / cites work @@
+Regression-based algorithms for life insurance contracts with surrender guarantees
+Normal rank
@@ Property / cites work @@
+EXACT SIMULATION OF THE 3/2 MODEL
@@ Property / cites work: EXACT SIMULATION OF THE 3/2 MODEL / rank @@
+Normal rank
@@ Property / cites work @@
+A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
+Normal rank
@@ Property / cites work @@
+Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
+Normal rank
@@ Property / cites work @@
+The effect of modelling parameters on the value of GMWB guarantees
+Normal rank
@@ Property / cites work @@
+An analysis of a least squares regression method for American option pricing
+Normal rank
@@ Property / cites work @@
+GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
+Normal rank
@@ Property / cites work @@
+An optimal stochastic control framework for determining the cost of hedging of variable annuities
+Normal rank
@@ Property / cites work @@
+Applications of Malliavin calculus to Monte Carlo methods in finance
+Normal rank
@@ Property / cites work @@
+Applications of Malliavin calculus to Monte-Carlo methods in finance. II
+Normal rank
@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
+Normal rank
@@ Property / cites work @@
+THE TRACKING ERROR RATE OF THE DELTA‐GAMMA HEDGING STRATEGY
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Comparison results for stochastic volatility models via coupling
+Normal rank
@@ Property / cites work @@
+Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB)
+Normal rank
@@ Property / cites work @@
+Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products
+Normal rank
@@ Property / cites work @@
+Valuing American Options by Simulation: A Simple Least-Squares Approach
+Normal rank
@@ Property / cites work @@
+A comparison of biased simulation schemes for stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Delta-gamma hedging of mortality and interest rate risk
+Normal rank
@@ Property / cites work @@
+Financial valuation of guaranteed minimum withdrawal benefits
+Normal rank
@@ Property / cites work @@
+Risk minimization in stochastic volatility models: model risk and empirical performance
+Normal rank
@@ Property / cites work @@
+Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models
+Normal rank