Pages that link to "Item:Q937233"

The following pages link to A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB) (Q937233):

Displayed 43 items.

• An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit (Q253095) ‎ (← links)
• An ENO-based method for second-order equations and application to the control of dike levels (Q421325) ‎ (← links)
• Iterative methods for the solution of a singular control formulation of a GMWB pricing problem (Q453330) ‎ (← links)
• Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits (Q506067) ‎ (← links)
• Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions (Q734661) ‎ (← links)
• Valuation perspectives and decompositions for variable annuities with GMWB riders (Q743168) ‎ (← links)
• Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation (Q846513) ‎ (← links)
• A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB) (Q937233) ‎ (← links)
• The effect of modelling parameters on the value of GMWB guarantees (Q938050) ‎ (← links)
• An implicit method for the finite time horizon Hamilton-Jacobi-Bellman quasi-variational inequalities (Q1664195) ‎ (← links)
• Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach (Q1697245) ‎ (← links)
• Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models (Q1722758) ‎ (← links)
• Optimal securitization of credit portfolios via impulse control (Q1932538) ‎ (← links)
• Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products (Q1994588) ‎ (← links)
• Application of data clustering and machine learning in variable annuity valuation (Q2015648) ‎ (← links)
• Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate (Q2044803) ‎ (← links)
• A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders (Q2145706) ‎ (← links)
• Hamilton-Jacobi-Bellman quasi-variational inequality arising in an environmental problem and its numerical discretization (Q2203922) ‎ (← links)
• Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization (Q2347054) ‎ (← links)
• Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate (Q2404547) ‎ (← links)
• Analysis and computation of probability density functions for a 1-D impulsively controlled diffusion process (Q2418705) ‎ (← links)
• Optimal consumption and allocation in variable annuities with guaranteed minimum death benefits (Q2447413) ‎ (← links)
• Optimal initiation of a GLWB in a variable annuity: no arbitrage approach (Q2513460) ‎ (← links)
• A neural network approach to efficient valuation of large portfolios of variable annuities (Q2520445) ‎ (← links)
• Weakly Chained Matrices, Policy Iteration, and Impulse Control (Q2805130) ‎ (← links)
• Pricing guaranteed minimum withdrawal benefits under stochastic interest rates (Q2869985) ‎ (← links)
• Analytical Approximation of Variable Annuities for Small Volatility and Small Withdrawal (Q2967980) ‎ (← links)
• Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method (Q4554481) ‎ (← links)
• Convergence of Implicit Schemes for Hamilton--Jacobi--Bellman Quasi-Variational Inequalities (Q4554791) ‎ (← links)
• Risk based capital for guaranteed minimum withdrawal benefit (Q4555091) ‎ (← links)
• A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model (Q4575461) ‎ (← links)
• The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours (Q4576977) ‎ (← links)
• Exact Solutions and Approximations for Optimal Investment Strategies and Indifference Prices (Q5080130) ‎ (← links)
• Lévy modeled GMWB: Pricing with wavelets (Q5083992) ‎ (← links)
• SPECTRAL METHODS FOR THE CALCULATION OF RISK MEASURES FOR VARIABLE ANNUITY GUARANTEED BENEFITS (Q5214828) ‎ (← links)
• The Existence of Optimal Bang-Bang Controls for GMxB Contracts (Q5250040) ‎ (← links)
• Policyholder Exercise Behavior in Life Insurance: The State of Affairs (Q5379239) ‎ (← links)
• FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY (Q5745191) ‎ (← links)
• Variable annuity pricing, valuation, and risk management: a survey (Q5872568) ‎ (← links)
• Valuation of general GMWB annuities in a low interest rate environment (Q6072272) ‎ (← links)
• Hedging longevity risk in defined contribution pension schemes (Q6088770) ‎ (← links)
• Risk-neutral valuation of GLWB riders in variable annuities (Q6152701) ‎ (← links)
• HJB equation for optimal control system with random impulses (Q6194132) ‎ (← links)