RISK-BASED CAPITAL FOR VARIABLE ANNUITY UNDER STOCHASTIC INTEREST RATE (Q5140086): Difference between revisions

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+The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
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+PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
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+A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
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+A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model
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+A Theory of the Term Structure of Interest Rates
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+GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
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+Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models
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+Analytical calculation of risk measures for variable annuity guaranteed benefits
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+Risk based capital for guaranteed minimum withdrawal benefit
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+SPECTRAL METHODS FOR THE CALCULATION OF RISK MEASURES FOR VARIABLE ANNUITY GUARANTEED BENEFITS
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+Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB)
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+Iterative methods for the solution of a singular control formulation of a GMWB pricing problem
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+Pricing Interest-Rate-Derivative Securities
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+SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION
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+Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
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+Semi-Static Hedging for GMWB in Variable Annuities
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+Efficient willow tree method for European-style and American-style moving average barrier options pricing
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+Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization
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+Financial valuation of guaranteed minimum withdrawal benefits
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+Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
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+Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate
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+Analytic Solution for Return of Premium and Rollup Guaranteed Minimum Death Benefit Options Under Some Simple Mortality Laws
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+The Effect of Policyholder Transfer Behavior on the Value of Guaranteed Minimum Death Benefits
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+An equilibrium characterization of the term structure
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+A new sampling strategy willow tree method with application to path-dependent option pricing
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+A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
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