The Existence of Optimal Bang-Bang Controls for GMxB Contracts

DOI10.1137/140953885zbMath1422.91678arXiv1502.05743OpenAlexW2169035498MaRDI QIDQ5250040

Parsiad Azimzadeh, Peter A. I. Forsyth

Publication date: 15 May 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1502.05743

zbMATH Keywords

convex optimizationoptimal stochastic controlbang-bang controlsGMxB guarantees

Mathematics Subject Classification ID

Convex programming (90C25) Existence of optimal solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49J30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (12)

Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method ⋮ Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate ⋮ Valuation of general GMWB annuities in a low interest rate environment ⋮ Risk-neutral valuation of GLWB riders in variable annuities ⋮ Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals ⋮ Equity-linked guaranteed minimum death benefits with dollar cost averaging ⋮ Weakly Chained Matrices, Policy Iteration, and Impulse Control ⋮ A neural network approach to efficient valuation of large portfolios of variable annuities ⋮ Pricing bounds and bang-bang analysis of the Polaris variable annuities ⋮ Real-Time Valuation of Large Variable Annuity Portfolios: A Green Mesh Approach ⋮ Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models ⋮ Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees

Uses Software

• BRENT

Cites Work

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• A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
• The effect of modelling parameters on the value of GMWB guarantees
• Convexity preserving for fully nonlinear parabolic integro-differential equations
• Preservation of convexity of solutions to parabolic equations
• An optimal stochastic control framework for determining the cost of hedging of variable annuities
• Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products
• Financial valuation of guaranteed minimum withdrawal benefits
• GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
• Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB)
• Maximal Use of Central Differencing for Hamilton–Jacobi–Bellman PDEs in Finance
• A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
• Hedging Costs for Variable Annuities Under Regime-Switching
• Sequential Minimax Search for a Maximum

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