Guaranteed Annuity Options
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Recommendations
- Valuation of guaranteed annuity conversion options.
- A general model for the analysis and valuation of guaranteed minimum benefits in fonds policies
- Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
- The fair value of guaranteed annuity options
- Pricing and hedging guaranteed annuity options via static option replication.
Cites work
Cited in
(43)- Evaluation of the GIC rollover option
- Better late than never: The case of the rollover option
- Valuation of guaranteed annuity conversion options.
- Pricing and hedging guaranteed annuity options via static option replication.
- A note on utility based pricing and asymptotic risk diversification
- Pricing variable annuity guarantees in a local volatility framework
- Risk measurement of a guaranteed annuity option under a stochastic modelling framework
- Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities
- The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
- A subordinated Markov model for stochastic mortality
- A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
- Pricing European options on deferred annuities
- A comonotonicity-based valuation method for guaranteed annuity options
- Affine stochastic mortality
- The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
- Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
- A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach
- Pricing Asian options and equity-indexed annuities with regime switching by the trinomial tree method
- The fair value of guaranteed annuity options
- Valuation of an early exercise defined benefit underpin hybrid pension
- Long guarantees with short duration: the rolling annuity
- DYNAMIC HEDGING STRATEGIES FOR CASH BALANCE PENSION PLANS
- Pricing annuity guarantees under a regime-switching model
- A large-scale optimization model for replicating portfolios in the life insurance industry
- Less-expensive valuation and reserving of long-dated variable annuities when interest rates and mortality rates are stochastic
- Efficient dynamic hedging for large variable annuity portfolios with multiple underlying assets
- State-dependent fees for variable annuity guarantees
- VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS
- Market-consistent valuation and funding of cash balance pensions
- Evaluating the technical provisions for traditional Brazilian annuity plans: continuous-time stochastic approach based on solvency principles
- Impact of flexible periodic premiums on variable annuity guarantees
- Policyholder exercise behavior in life insurance: the state of affairs
- On accounting standards and fair valuation of life insurance and pension liabilities
- Annuity uncertainty with stochastic mortality and interest rates
- Variable annuity pricing, valuation, and risk management: a survey
- Hedging longevity risk in defined contribution pension schemes
- Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
- Return smoothing in pooled annuity products
- Equilibrium investment strategies for a defined contribution pension plan with random risk aversion
- Dimension reduction for quasi-Monte Carlo methods via quadratic regression
- Guaranteed minimum income benefit valuation via a numéraire transformation approach
- Valuation of contingent claims with mortality and interest rate risks
- Pricing a guaranteed annuity option under correlated and regime-switching risk factors
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