Optimal surrender time for a variable annuity with a fixed insurance fee
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Recommendations
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Cites work
- Hedging guarantees in variable annuities under both equity and interest rate risks
- scientific article; zbMATH DE number 5016447 (Why is no real title available?)
- scientific article; zbMATH DE number 855058 (Why is no real title available?)
- scientific article; zbMATH DE number 3088518 (Why is no real title available?)
- Optimal surrender policy for variable annuity guarantees
- Parabolic variational inequalities in one space dimension and smoothness of the free boundary
- Valuation of European continuous-installment options
- Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
- Valuing equity-indexed annuities with icicled barrier options
Cited in
(13)- Optimal surrender strategies for equity-indexed annuity investors
- Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
- Pricing variable annuity with surrender guarantee
- Variable annuity with a surrender option under multiscale stochastic volatility
- Efficient valuation of a variable annuity contract with a surrender option
- Optimal fee structure of variable annuities
- Optimal surrender strategies for equity-indexed annuity investors with partial information
- Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
- Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
- Optimal surrender policy of guaranteed minimum maturity benefits in variable annuities with regime-switching volatility
- Optimal investment-disinvestment choices in health-dependent variable annuity
- Optimal surrender policy for reverse mortgage loans
- Optimal surrender policy for variable annuity guarantees
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