Variable annuities: market incompleteness and policyholder behavior (Q2038222): Difference between revisions

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+The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
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+Policyholder Exercise Behavior in Life Insurance: The State of Affairs
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+A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
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+MAX–MIN OPTIMIZATION PROBLEM FOR VARIABLE ANNUITIES PRICING
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+Optimal asset allocation in life annuities: a note.
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+The effect of modelling parameters on the value of GMWB guarantees
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+Indifference fee rate for variable annuities
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+Optimal consumption and portfolio policies when asset prices follow a diffusion process
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+GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
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+Pricing and hedging of variable annuities with state-dependent fees
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+Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility
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+An optimal stochastic control framework for determining the cost of hedging of variable annuities
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+Optimal consumption and allocation in variable annuities with guaranteed minimum death benefits
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+Optimal allocation and consumption with guaranteed minimum death benefits, external income and term life insurance
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+Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
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+Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
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+Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection
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+Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
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+FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY
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+Pricing Annuity Guarantees Under a Regime-Switching Model
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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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+Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate
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+Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits
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+LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK
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