Indifference pricing of a GLWB option in variable annuities

DOI10.1080/10920277.2017.1283237MaRDI QIDQ5379221zbMATH OpenOpenAlexFDO

Authors J. Choi

Publication date 28 May 2019

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2017.1283237

zbMATH Keywords

GLWB option pricingguaranteed lifelong/lifetime withdrawal benefit optionsvariable annuities

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
• Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
• Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits
• Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
• Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models

Cites work

• An optimal stochastic control framework for determining the cost of hedging of variable annuities
• Equity-Indexed Life Insurance: Pricing and Reserving Using the Principle of Equivalent Utility
• Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts
• Finite difference methods in financial engineering. A partial differential approach. With CD-ROM
• Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates
• Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
• Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
• Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio
• Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
• The Mathematics of Financial Derivatives

Cited in

(15)

• An optimal stochastic control framework for determining the cost of hedging of variable annuities
• A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders
• Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
• Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
• Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models
• Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
• Max-min optimization problem for variable annuities pricing
• Hedging costs for variable annuities under regime-switching
• Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits
• Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
• Risk-neutral valuation of GLWB riders in variable annuities
• Valuing Lifetime Withdrawal Guarantees in RILAs
• Analytic valuation of guaranteed lifetime withdrawal benefits with a modified ratchet
• The life care annuity: enhancing product features and refining pricing methods
• Indifference Pricing of Pure Endowments in a Regime-Switching Market Model

This page was built for publication: Indifference pricing of a GLWB option in variable annuities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5379221)