STATE-DEPENDENT FEES FOR VARIABLE ANNUITY GUARANTEES

DOI10.1017/asb.2014.13zbMath1431.91318OpenAlexW3125147193MaRDI QIDQ5214823

Anne MacKay, Carole Bernard, Mary R. Hardy

Publication date: 5 February 2020

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://www.cambridge.org/core/services/aop-cambridge-core/content/view/2A2D06F0A56B24B7E284379174257ECC/S0515036114000130a.pdf/statedependent_fees_for_variable_annuity_guarantees.pdf

zbMATH Keywords

pricingvariable annuitiesGMMBGMDBsurrender decision

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Related Items (23)

Valuation of annuity guarantees under a self-exciting switching jump model ⋮ VIX-linked fees for GMWBs via explicit solution simulation methods ⋮ Optimal fee structure of variable annuities ⋮ First passage problems of refracted jump diffusion processes and their applications in valuing equity-linked death benefits ⋮ Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation ⋮ Valuation of general GMWB annuities in a low interest rate environment ⋮ Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees ⋮ Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees ⋮ Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model ⋮ Policyholder Exercise Behavior in Life Insurance: The State of Affairs ⋮ EFFICIENT DYNAMIC HEDGING FOR LARGE VARIABLE ANNUITY PORTFOLIOS WITH MULTIPLE UNDERLYING ASSETS ⋮ Expected utility of the drawdown-based regime-switching risk model with state-dependent termination ⋮ FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY ⋮ Pricing variable annuity with surrender guarantee ⋮ The distribution of refracted Lévy processes with jumps having rational Laplace transforms ⋮ Pricing and hedging of variable annuities with state-dependent fees ⋮ THE EFFECT OF THE ASSUMED INTEREST RATE AND SMOOTHING ON VARIABLE ANNUITIES ⋮ On occupation times in the red of Lévy risk models ⋮ Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis ⋮ Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model ⋮ Valuing equity-linked death benefits with a threshold expense strategy ⋮ The time of deducting fees for variable annuities under the state-dependent fee structure ⋮ Variable annuity pricing, valuation, and risk management: a survey

Cites Work

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• GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
• Actuarial Mathematics for Life Contingent Risks
• A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
• Revisiting the Risk-Neutral Approach to Optimal Policyholder Behavior: A Study of Withdrawal Guarantees in Variable Annuities *
• Guaranteed Annuity Options
• A Regime-Switching Model of Long-Term Stock Returns
• Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals

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