Optimal surrender policy for variable annuity guarantees
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Recommendations
- Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities
- Optimal surrender time for a variable annuity with a fixed insurance fee
- Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
- Pricing variable annuity with surrender guarantee
- Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
Cites work
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- An alternative approach to the valuation of American options and applications
- Analytical valuation of American-style Asian options
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Fair valuation of participating policies with surrender options and regime switching
- Investment guarantees: Modeling and risk management for equity-linked life insurance
- Lapse rate modeling: a rational expectation approach
- Optimal Exercise Policies and Simulation-Based Valuation for American-Asian Options
- Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
- Pricing life insurance contracts with early exercise features
- Regression-based algorithms for life insurance contracts with surrender guarantees
- The effect of policyholders' rationality on unit-linked life insurance contracts with surrender guarantees
Cited in
(40)- Optimal surrender strategies for equity-indexed annuity investors
- Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities
- Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
- Pricing variable annuity with surrender guarantee
- Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
- Variable annuity with a surrender option under multiscale stochastic volatility
- An analytical study of participating policies with minimum rate guarantee and surrender option
- Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method
- CTMC integral equation method for American options under stochastic local volatility models
- Valuation of guaranteed unitized participating life insurance under MEGB2 distribution
- Efficient valuation of a variable annuity contract with a surrender option
- Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis
- Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
- Pricing and hedging of variable annuities with state-dependent fees
- Optimal fee structure of variable annuities
- Valuing guaranteed minimum accumulation benefits by a change of numéraire approach
- Statutory financial reporting for variable annuity guaranteed death benefits: market practice, mathematical modeling and computation
- Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
- Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits
- Optimal surrender time for a variable annuity with a fixed insurance fee
- Application of power series approximation techniques to valuation of European style options
- State-dependent fees for variable annuity guarantees
- Policyholder exercise behavior in life insurance: the state of affairs
- Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
- Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models
- Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk
- Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees
- Variational inequality arising from variable annuity with mean reversion environment
- Surrender and path-dependent guarantees in variable annuities: integral equation solutions and benchmark methods
- Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
- Taxation and policyholder behavior: the case of guaranteed minimum accumulation benefits
- Efficient valuation of variable annuities under regime-switching jump diffusion models with surrender risk and mortality risk
- Optimal surrender policy for reverse mortgage loans
- Optimizing portfolios with surrender variable annuities: a deep reinforcement learning approach
- Machine-learning regression methods for American-style path-dependent contracts
- Guaranteed minimum income benefit valuation via a numéraire transformation approach
- Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
- Pricing and optimal surrender strategies of variable annuities with correlated interest rates and jump-diffusion equity
- Generative adversarial network stopping for robust surrendering
- A two-account pricing framework for hybrid variable annuity contract embedded with living and death benefit riders
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