Pricing variable annuities embedding various guaranteed minimum benefits

DOI10.11908/J.ISSN.0253-374X.2019.09.020MaRDI QIDQ3307076zbMATH OpenFDO

Authors Bing Dong, Wei Xu

Publication date 12 August 2020

Full work available at URL https://doi.org/10.11908/J.ISSN.0253-374X.2019.09.020

zbMATH Keywords

guaranteed minimum benefitsjump-diffusion modelvariable annuity valuationwillow tree method

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Numerical methods (including Monte Carlo methods) (91G60)

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(3)

• Are flexible premium variable annuities under-priced?
• Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
• Willow tree algorithms for pricing guaranteed minimum withdrawal benefits under jump-diffusion and CEV models

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