Guaranteed minimum withdrawal benefit in variable annuities
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Cites work
- scientific article; zbMATH DE number 4205918 (Why is no real title available?)
- A Numerical Method for Solving Singular Stochastic Control Problems
- CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
- Controlled Markov processes and viscosity solutions
- Fair valuation of participating policies with surrender options and regime switching
- Financial valuation of guaranteed minimum withdrawal benefits
- Hedging guarantees in variable annuities under both equity and interest rate risks
- Intensity-based framework and penalty formulation of optimal stopping problems
- Portfolio Selection with Transaction Costs
- Quadratic convergence for valuing American options using a penalty method
- Reset and withdrawal rights in dynamic fund protection
Cited in
(85)- An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit
- An optimal stochastic control framework for determining the cost of hedging of variable annuities
- State-dependent fees for variable annuity guarantees
- Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees
- Risk-based capital for variable annuity under stochastic interest rate
- The valuation of a guaranteed minimum maturity benefit under a regime-switching framework
- A semi-Lagrangian -monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate
- Valuing the guaranteed minimum death benefit clause with partial withdrawals
- Revisiting the risk-neutral approach to optimal policyholder behavior: a study of withdrawal guarantees in variable annuities
- Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method
- Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality
- Optimal decision for selling an illiquid stock
- On the choice between two delta-hedging strategies
- Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate
- Optimal investment-withdrawal strategy for variable annuities under a performance fee structure
- The existence of optimal bang-bang controls for GMxB contracts
- Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products
- A further study of the choice between two hedging strategies -- the continuous case
- Willow tree algorithms for pricing guaranteed minimum withdrawal benefits under jump-diffusion and CEV models
- A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
- Time series model for GLWB with surrender benefit and stochastic interest rate: dynamic withdrawal approach
- Risk-neutral valuation of GLWB riders in variable annuities
- Semi-static hedging of variable annuities
- A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
- Optimal consumption and allocation in variable annuities with guaranteed minimum death benefits
- Weakly chained matrices, policy iteration, and impulse control
- Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
- Calculating variable annuity liability ``Greeks using Monte Carlo simulation
- Regression modeling for the valuation of large variable annuity portfolios
- Application of data clustering and machine learning in variable annuity valuation
- Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
- Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
- Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility
- Analytical approximation of variable annuities for small volatility and small withdrawal
- Risk based capital for guaranteed minimum withdrawal benefit
- Valuing guaranteed minimum accumulation benefits by a change of numéraire approach
- Variable annuity pricing, valuation, and risk management: a survey
- The effect of modelling parameters on the value of GMWB guarantees
- Impact of volatility clustering on equity indexed annuities
- Closed-form solutions for guaranteed minimum accumulation and death benefits
- A neural network approach to efficient valuation of large portfolios of variable annuities
- Hamilton-Jacobi-Bellman quasi-variational inequality arising in an environmental problem and its numerical discretization
- Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits
- Iterative methods for the solution of a singular control formulation of a GMWB pricing problem
- Guaranteed Minimum Maturity Benefits in a Self-Exciting Stochastic Mortality Model: Pricing, Estimation and Calibration
- Max-min optimization problem for variable annuities pricing
- Minimum return guarantees, investment caps, and investment flexibility
- Penalty method for portfolio selection with capital gains tax
- A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders
- Efficient dynamic hedging for large variable annuity portfolios with multiple underlying assets
- WITHDRAWAL SUCCESS ESTIMATION
- Variable annuities: market incompleteness and policyholder behavior
- Quadratic hedging for sequential claims with random weights in discrete time
- Guaranteed minimum income benefit valuation via a numéraire transformation approach
- Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits
- Valuation of general GMWB annuities in a low interest rate environment
- Horizon effect on optimal retirement decision
- VIX-linked fees for GMWBs via explicit solution simulation methods
- An optimal withdrawal problem arising from pension fund embedded with income drawdown option
- A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model
- Withdrawal Benefits under a Dependent Double Decrement Model
- Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
- Insurance-finance arbitrage
- Illiquidity, position limits, and optimal investment for mutual funds
- Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization
- Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits
- Hedging longevity risk in defined contribution pension schemes
- Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees
- Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
- Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
- Valuation perspectives and decompositions for variable annuities with GMWB riders
- Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection
- Optimal retirement income tontines
- Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
- The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
- Optimal fee structure of variable annuities
- Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach
- Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
- Optimal valuation of variable annuity guaranteed lifetime withdrawal benefits with embedded top-up option
- Valuation of guaranteed lifelong withdrawal benefit with the long-term care option
- Policyholder exercise behavior in life insurance: the state of affairs
- Pricing bounds and bang-bang analysis of the Polaris variable annuities
- Indifference fee rate for variable annuities
- Conditional moment matching and stratified approximation for pricing and hedging periodic-premium variable annuities
- Pricing annuity guarantees under a double regime-switching model
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