Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals

DOI10.1080/13504860903075464zbMath1189.91066OpenAlexW2031958274MaRDI QIDQ5851724

A. C. Bélanger, Peter A. I. Forsyth, George Labahn

Publication date: 25 January 2010

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860903075464

zbMATH Keywords

viscosity solutionimpulse controlvariable annuitiesfully implicit penalty methodguaranteed minimum death benefit (GMDB)

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Impulsive optimal control problems (49N25) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (22)

Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation ⋮ Convergence of Implicit Schemes for Hamilton--Jacobi--Bellman Quasi-Variational Inequalities ⋮ MAX–MIN OPTIMIZATION PROBLEM FOR VARIABLE ANNUITIES PRICING ⋮ Moment matching machine learning methods for risk management of large variable annuity portfolios ⋮ Hedging Costs for Variable Annuities Under Regime-Switching ⋮ Regression Modeling for the Valuation of Large Variable Annuity Portfolios ⋮ Valuing variable annuity guarantees on multiple assets ⋮ The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours ⋮ Indifference fee rate for variable annuities ⋮ Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach ⋮ Optimal consumption and allocation in variable annuities with guaranteed minimum death benefits ⋮ Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models ⋮ Equity-linked guaranteed minimum death benefits with dollar cost averaging ⋮ Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model ⋮ An optimal stochastic control framework for determining the cost of hedging of variable annuities ⋮ Application of data clustering and machine learning in variable annuity valuation ⋮ A hybrid method to evaluate pure endowment policies: Crédit Agricole and ERGO index linked policies ⋮ Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models ⋮ A neural network approach to efficient valuation of large portfolios of variable annuities ⋮ STATE-DEPENDENT FEES FOR VARIABLE ANNUITY GUARANTEES ⋮ Valuation of large variable annuity portfolios under nested simulation: a functional data approach ⋮ Variable annuity pricing, valuation, and risk management: a survey

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