Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees (Q6169661): Difference between revisions

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scientific article; zbMATH DE number 7710965

Language	Label	Description	Also known as
English	Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees	scientific article; zbMATH DE number 7710965

Statements

instance of

scholarly article

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title

Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees (English)

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author

Justin Lars Kirkby

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Jean-Philippe Aguilar

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published in

Scandinavian Actuarial Journal

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publication date

12 July 2023

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zbMATH Keywords

surrender

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equity-linked

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variable annuity

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GMDB

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GMAB

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guaranteed minimum death benefit

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GMxB

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Lévy

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mortality

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pricing

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valuation

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lapse

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MaRDI profile type

Publication

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cites work

SOME PRICING TOOLS FOR THE VARIANCE GAMMA MODEL

0 references

Pricing some life-contingent lookback options under regime-switching Lévy models

0 references

Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method

0 references

A bivariate model for evaluating equity-linked policies with surrender option

0 references

Efficient Pricing of Ratchet Equity-Indexed Annuities in a Variance-Gamma Economy

0 references

Variable annuities in a Lévy-based hybrid model with surrender risk

0 references

The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case

0 references

Processes of normal inverse Gaussian type

0 references

Q5827353

0 references

A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities

0 references

Impact of Flexible Periodic Premiums on Variable Annuity Guarantees

0 references

STATE-DEPENDENT FEES FOR VARIABLE ANNUITY GUARANTEES

0 references

Pricing and Hedging of Cliquet Options and Locally Capped Contracts

0 references

Optimal surrender policy for variable annuity guarantees

0 references

OPTION PRICING FOR TRUNCATED LÉVY PROCESSES

0 references

Q4331490

0 references

A dimension-reduction algorithm for the valuation of surrender options in EIA contracts with stochastic interest rates

0 references

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

0 references

A lattice approach to evaluate participating policies in a stochastic interest rate framework

0 references

Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps

0 references

GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES

0 references

Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models

0 references

Hybrid Lévy Models: Design and Computational Aspects

0 references

A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions

0 references

Valuing equity-linked death benefits and other contingent options: a discounted density approach

0 references

Valuing equity-linked death benefits in jump diffusion models

0 references

Geometric stopping of a random walk and its applications to valuing equity-linked death benefits

0 references

Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies

0 references

Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method

0 references

Cliquet-style return guarantees in a regime switching Lévy model

0 references

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 equity-linked pure endowments with risky assets that follow Lévy processes

0 references

Pricing variable annuity with surrender guarantee

0 references

OPTIMAL SURRENDER TIME FOR A VARIABLE ANNUITY WITH A FIXED INSURANCE FEE

0 references

Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates

0 references

Pricing of Ratchet equity-indexed annuities under stochastic interest rates

0 references

Efficient Option Pricing by Frame Duality with the Fast Fourier Transform

0 references

Robust barrier option pricing by frame projection under exponential Lévy dynamics

0 references

SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION

0 references

Equity-linked guaranteed minimum death benefits with dollar cost averaging

0 references

Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes

0 references

A Jump-Diffusion Model for Option Pricing

0 references

Closed-form solutions for guaranteed minimum accumulation and death benefits

0 references

Pricing equity-indexed annuities with path-dependent options.

0 references

The effect of policyholders’ rationality on unit-linked life insurance contracts with surrender guarantees

0 references

Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality

0 references

Annuity Uncertainty with Stochastic Mortality and Interest Rates

0 references

The Variance Gamma Process and Option Pricing

0 references

Option pricing when underlying stock returns are discontinuous

0 references

Optimal surrender strategies for equity-indexed annuity investors

0 references

Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts

0 references

On stochastic mortality modeling

0 references

Valuation of equity-indexed annuity under stochastic mortality and interest rate

0 references

Intensity-based framework for surrender modeling in life insurance

0 references

Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options

0 references

Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate

0 references

Pricing EIA with cliquet-style guarantees under time-changed Lévy models by frame duality projection

0 references

Fair valuation of participating policies with surrender options and regime switching

0 references

VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK

0 references

Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model

0 references

Computing the Gerber–Shiu function by frame duality projection

0 references

Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model

0 references

Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation

0 references

Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment

0 references

Lévy insurance risk process with Poissonian taxation

0 references

Valuing guaranteed equity-linked contracts by Laguerre series expansion

0 references

Valuing equity-linked death benefits in general exponential Lévy models

0 references

A binomial model for valuing equity-linked policies embedding surrender options

0 references

Valuing equity-linked death benefits with a threshold expense strategy

0 references

Identifiers

zbMATH Open document ID

1520.91334

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DOI

10.1080/03461238.2022.2141656

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6169661

@@ Property / cites work @@
+SOME PRICING TOOLS FOR THE VARIANCE GAMMA MODEL
@@ Property / cites work: SOME PRICING TOOLS FOR THE VARIANCE GAMMA MODEL / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing some life-contingent lookback options under regime-switching Lévy models
+Normal rank
@@ Property / cites work @@
+Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
+Normal rank
@@ Property / cites work @@
+A bivariate model for evaluating equity-linked policies with surrender option
+Normal rank
@@ Property / cites work @@
+Efficient Pricing of Ratchet Equity-Indexed Annuities in a Variance-Gamma Economy
+Normal rank
@@ Property / cites work @@
+Variable annuities in a Lévy-based hybrid model with surrender risk
+Normal rank
@@ Property / cites work @@
+The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
+Normal rank
@@ Property / cites work @@
+Processes of normal inverse Gaussian type
@@ Property / cites work: Processes of normal inverse Gaussian type / rank @@
+Normal rank
@@ Property / cites work @@
+Q5827353
@@ Property / cites work: Q5827353 / rank @@
+Normal rank
@@ Property / cites work @@
+A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
+Normal rank
@@ Property / cites work @@
+Impact of Flexible Periodic Premiums on Variable Annuity Guarantees
+Normal rank
@@ Property / cites work @@
+STATE-DEPENDENT FEES FOR VARIABLE ANNUITY GUARANTEES
+Normal rank
@@ Property / cites work @@
+Pricing and Hedging of Cliquet Options and Locally Capped Contracts
+Normal rank
@@ Property / cites work @@
+Optimal surrender policy for variable annuity guarantees
+Normal rank
@@ Property / cites work @@
+OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
@@ Property / cites work: OPTION PRICING FOR TRUNCATED LÉVY PROCESSES / rank @@
+Normal rank
@@ Property / cites work @@
+Q4331490
@@ Property / cites work: Q4331490 / rank @@
+Normal rank
@@ Property / cites work @@
+A dimension-reduction algorithm for the valuation of surrender options in EIA contracts with stochastic interest rates
+Normal rank
@@ Property / cites work @@
+Hedging guarantees in variable annuities under both equity and interest rate risks
+Normal rank
@@ Property / cites work @@
+A lattice approach to evaluate participating policies in a stochastic interest rate framework
+Normal rank
@@ Property / cites work @@
+Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
+Normal rank
@@ Property / cites work @@
+GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
+Normal rank
@@ Property / cites work @@
+Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models
+Normal rank
@@ Property / cites work @@
+Hybrid Lévy Models: Design and Computational Aspects
+Normal rank
@@ Property / cites work @@
+A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
+Normal rank
@@ Property / cites work @@
+Valuing equity-linked death benefits and other contingent options: a discounted density approach
+Normal rank
@@ Property / cites work @@
+Valuing equity-linked death benefits in jump diffusion models
+Normal rank
@@ Property / cites work @@
+Geometric stopping of a random walk and its applications to valuing equity-linked death benefits
+Normal rank
@@ Property / cites work @@
+Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
+Normal rank
@@ Property / cites work @@
+Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
+Normal rank
@@ Property / cites work @@
+Cliquet-style return guarantees in a regime switching Lévy model
+Normal rank
@@ Property / cites work @@
+FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY
+Normal rank
@@ Property / cites work @@
+Pricing equity-linked pure endowments with risky assets that follow Lévy processes
+Normal rank
@@ Property / cites work @@
+Pricing variable annuity with surrender guarantee
@@ Property / cites work: Pricing variable annuity with surrender guarantee / rank @@
+Normal rank
@@ Property / cites work @@
+OPTIMAL SURRENDER TIME FOR A VARIABLE ANNUITY WITH A FIXED INSURANCE FEE
+Normal rank
@@ Property / cites work @@
+Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
+Normal rank
@@ Property / cites work @@
+Pricing of Ratchet equity-indexed annuities under stochastic interest rates
+Normal rank
@@ Property / cites work @@
+Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
+Normal rank
@@ Property / cites work @@
+Robust barrier option pricing by frame projection under exponential Lévy dynamics
+Normal rank
@@ Property / cites work @@
+SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION
+Normal rank
@@ Property / cites work @@
+Equity-linked guaranteed minimum death benefits with dollar cost averaging
+Normal rank
@@ Property / cites work @@
+Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes
+Normal rank
@@ Property / cites work @@
+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Closed-form solutions for guaranteed minimum accumulation and death benefits
+Normal rank
@@ Property / cites work @@
+Pricing equity-indexed annuities with path-dependent options.
+Normal rank
@@ Property / cites work @@
+The effect of policyholders’ rationality on unit-linked life insurance contracts with surrender guarantees
+Normal rank
@@ Property / cites work @@
+Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality
+Normal rank
@@ Property / cites work @@
+Annuity Uncertainty with Stochastic Mortality and Interest Rates
+Normal rank
@@ Property / cites work @@
+The Variance Gamma Process and Option Pricing
@@ Property / cites work: The Variance Gamma Process and Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Optimal surrender strategies for equity-indexed annuity investors
+Normal rank
@@ Property / cites work @@
+Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts
+Normal rank
@@ Property / cites work @@
+On stochastic mortality modeling
@@ Property / cites work: On stochastic mortality modeling / rank @@
+Normal rank
@@ Property / cites work @@
+Valuation of equity-indexed annuity under stochastic mortality and interest rate
+Normal rank
@@ Property / cites work @@
+Intensity-based framework for surrender modeling in life insurance
+Normal rank
@@ Property / cites work @@
+Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
+Normal rank
@@ Property / cites work @@
+Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate
+Normal rank
@@ Property / cites work @@
+Pricing EIA with cliquet-style guarantees under time-changed Lévy models by frame duality projection
+Normal rank
@@ Property / cites work @@
+Fair valuation of participating policies with surrender options and regime switching
+Normal rank
@@ Property / cites work @@
+VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK
+Normal rank
@@ Property / cites work @@
+Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model
+Normal rank
@@ Property / cites work @@
+Computing the Gerber–Shiu function by frame duality projection
+Normal rank
@@ Property / cites work @@
+Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model
+Normal rank
@@ Property / cites work @@
+Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation
+Normal rank
@@ Property / cites work @@
+Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment
+Normal rank
@@ Property / cites work @@
+Lévy insurance risk process with Poissonian taxation
+Normal rank
@@ Property / cites work @@
+Valuing guaranteed equity-linked contracts by Laguerre series expansion
+Normal rank
@@ Property / cites work @@
+Valuing equity-linked death benefits in general exponential Lévy models
+Normal rank
@@ Property / cites work @@
+A binomial model for valuing equity-linked policies embedding surrender options
+Normal rank
@@ Property / cites work @@
+Valuing equity-linked death benefits with a threshold expense strategy
+Normal rank