Variable annuity pricing, valuation, and risk management: a survey (Q5872568): Difference between revisions

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+Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
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+Cross-hedging minimum return guarantees: basis and liquidity risks
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+Coherent Measures of Risk
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+Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk
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+Q5448377
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+Valuation of guaranteed annuity conversion options.
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+The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
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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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+Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals
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+STATE-DEPENDENT FEES FOR VARIABLE ANNUITY GUARANTEES
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+The Pricing of Options and Corporate Liabilities
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+Reserving for maturity guarantees: Two approaches
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+Guaranteed Annuity Options
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+CALCULATING VARIABLE ANNUITY LIABILITY “GREEKS” USING MONTE CARLO SIMULATION
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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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+Hedging guarantees in variable annuities under both equity and interest rate risks
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+Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model
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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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+Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
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+Efficient Nested Simulation for Conditional Tail Expectation of Variable Annuities
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+The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
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+Pricing variable annuity guarantees in a local volatility framework
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+Pricing and hedging of variable annuities with state-dependent fees
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+A Comparative Study of Risk Measures for Guaranteed Minimum Maturity Benefits by a PDE Method
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+An Introduction to Computational Risk Management of Equity-Linked Insurance
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+Statutory financial reporting for variable annuity guaranteed death benefits: market practice, mathematical modeling and computation
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+Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
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+Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
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+A short proof of duality relations for hypergeometric functions
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+Exponential functionals of Lévy processes and variable annuity guaranteed benefits
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+Sample recycling method -- a new approach to efficient nested Monte Carlo simulations
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+Applications of central limit theorems for equity-linked insurance
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+Efficient Simulation Designs for Valuation of Large Variable Annuity Portfolios
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+Risk based capital for guaranteed minimum withdrawal benefit
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+Analytical calculation of risk measures for variable annuity guaranteed benefits
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+SPECTRAL METHODS FOR THE CALCULATION OF RISK MEASURES FOR VARIABLE ANNUITY GUARANTEED BENEFITS
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+An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit
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+Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
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+Application of data clustering and machine learning in variable annuity valuation
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+Valuation of large variable annuity portfolios under nested simulation: a functional data approach
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+Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach
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+An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios
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+Modeling partial Greeks of variable annuities with dependence
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+Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets
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+Regression Modeling for the Valuation of Large Variable Annuity Portfolios
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+Metamodeling for Variable Annuities
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+Optimal consumption and allocation in variable annuities with guaranteed minimum death benefits
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+Valuing equity-linked death benefits and other contingent options: a discounted density approach
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+Valuing equity-linked death benefits in jump diffusion models
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+AN EFFECTIVE BIAS-CORRECTED BAGGING METHOD FOR THE VALUATION OF LARGE VARIABLE ANNUITY PORTFOLIOS
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+A Regime-Switching Model of Long-Term Stock Returns
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+Q5480304
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+A neural network approach to efficient valuation of large portfolios of variable annuities
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+Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection
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+Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products
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+Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
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+Guaranteed minimum surrender benefits in variable annuities: the impact of regulator-imposed guarantees
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+Pricing maturity guarantee with dynamic withdrawal benefit
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+Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach
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+Valuing inflation-linked death benefits under a stochastic volatility framework
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+Fast and efficient nested simulation for large variable annuity portfolios: a surrogate modeling approach
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+A comonotonicity-based valuation method for guaranteed annuity options
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+Real-Time Valuation of Large Variable Annuity Portfolios: A Green Mesh Approach
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+Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization
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+Modelling Mortality with Actuarial Applications
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+Q5706744
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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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+Valuing variable annuity guarantees with the multivariate Esscher transform
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+Pricing and Hedging Variable Annuity Guarantees with Multiasset Stochastic Investment Models
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+Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
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+Mathematical Risk Analysis
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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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+Optimal strategies for hedging portfolios of unit-linked life insurance contracts with minimum death guarantee
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+LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK
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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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+Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws
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+Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
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+Quantile hedging for guaranteed minimum death benefits
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+Moment matching machine learning methods for risk management of large variable annuity portfolios
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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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+An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks
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+The time of deducting fees for variable annuities under the state-dependent fee structure
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