FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY (Q5745191): Difference between revisions

Latest revision as of 19:27, 15 July 2024

scientific article; zbMATH DE number 6880928

Language	Label	Description	Also known as
English	FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY	scientific article; zbMATH DE number 6880928

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instance of

scholarly article

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title

FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY (English)

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5 June 2018

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zbMATH Keywords

guaranteed minimum withdrawal benefits

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variable annuity

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mortality risk

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regime-switching

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Fourier space time-stepping

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1017/asb.2017.23

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cites work

The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours

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A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities

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STATE-DEPENDENT FEES FOR VARIABLE ANNUITY GUARANTEES

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Affine processes for dynamic mortality and actuarial valuations

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Consistent dynamic affine mortality models for longevity risk applications

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AMERICAN OPTIONS WITH REGIME SWITCHING

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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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The effect of modelling parameters on the value of GMWB guarantees

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Hedging guarantees in variable annuities under both equity and interest rate risks

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Valuing variable annuity guarantees on multiple assets

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GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES

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Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility

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Option pricing and Esscher transform under regime switching

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

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On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures

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An explicit solution to an optimal stopping problem with regime switching

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Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection

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

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A Fourier Transform Method for Spread Option Pricing

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Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality

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Fourier space time-stepping for option pricing with Lévy models

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Q4002884

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Option pricing in a regime-switching model using the fast Fourier transform

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Financial valuation of guaranteed minimum withdrawal benefits

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Revisiting the Risk-Neutral Approach to Optimal Policyholder Behavior: A Study of Withdrawal Guarantees in Variable Annuities *

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Pricing guaranteed minimum withdrawal benefits under stochastic interest rates

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Q3102962

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Identifiers

zbMATH Open document ID

1390.91190

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DOI

10.1017/asb.2017.23

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5745191

@@ Property / full work available at URL @@
+https://doi.org/10.1017/asb.2017.23
+Normal rank
@@ Property / OpenAlex ID @@
+W2744945495
@@ Property / OpenAlex ID: W2744945495 / rank @@
+Normal rank
@@ Property / cites work @@
+The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
+Normal rank
@@ Property / cites work @@
+A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
+Normal rank
@@ Property / cites work @@
+STATE-DEPENDENT FEES FOR VARIABLE ANNUITY GUARANTEES
+Normal rank
@@ Property / cites work @@
+Affine processes for dynamic mortality and actuarial valuations
+Normal rank
@@ Property / cites work @@
+Consistent dynamic affine mortality models for longevity risk applications
+Normal rank
@@ Property / cites work @@
+AMERICAN OPTIONS WITH REGIME SWITCHING
@@ Property / cites work: AMERICAN OPTIONS WITH REGIME SWITCHING / rank @@
+Normal rank
@@ Property / cites work @@
+A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
+Normal rank
@@ Property / cites work @@
+The effect of modelling parameters on the value of GMWB guarantees
+Normal rank
@@ Property / cites work @@
+Hedging guarantees in variable annuities under both equity and interest rate risks
+Normal rank
@@ Property / cites work @@
+Valuing variable annuity guarantees on multiple assets
+Normal rank
@@ Property / cites work @@
+GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
+Normal rank
@@ Property / cites work @@
+Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility
+Normal rank
@@ Property / cites work @@
+Option pricing and Esscher transform under regime switching
+Normal rank
@@ Property / cites work @@
+An optimal stochastic control framework for determining the cost of hedging of variable annuities
+Normal rank
@@ Property / cites work @@
+On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
+Normal rank
@@ Property / cites work @@
+An explicit solution to an optimal stopping problem with regime switching
+Normal rank
@@ Property / cites work @@
+Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection
+Normal rank
@@ Property / cites work @@
+Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB)
+Normal rank
@@ Property / cites work @@
+A Fourier Transform Method for Spread Option Pricing
+Normal rank
@@ Property / cites work @@
+Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
+Normal rank
@@ Property / cites work @@
+Fourier space time-stepping for option pricing with Lévy models
+Normal rank
@@ Property / cites work @@
+Q4002884
@@ Property / cites work: Q4002884 / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing in a regime-switching model using the fast Fourier transform
+Normal rank
@@ Property / cites work @@
+Financial valuation of guaranteed minimum withdrawal benefits
+Normal rank
@@ Property / cites work @@
+Revisiting the Risk-Neutral Approach to Optimal Policyholder Behavior: A Study of Withdrawal Guarantees in Variable Annuities *
+Normal rank
@@ Property / cites work @@
+Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
+Normal rank
@@ Property / cites work @@
+Q3102962
@@ Property / cites work: Q3102962 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5745191