VIX-linked fees for GMWBs via explicit solution simulation methods

DOI10.1016/j.insmatheco.2018.04.001zbMath1416.91197arXiv1708.06886OpenAlexW2963198270MaRDI QIDQ1667404

Michael A. Kouritzin, Anne MacKay

Publication date: 28 August 2018

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.06886

zbMATH Keywords

stochastic differential equationMonte Carlo simulationexplicit solutionHeston modelvariable annuities

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

Related Items

Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation, Levelling the playing field: a VIX-linked structure for funded pension schemes, On explicit local solutions of Itô diffusions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Convergence rates for residual branching particle filters
• The effect of modelling parameters on the value of GMWB guarantees
• A graph theoretic approach to simulation and classification
• Residual and stratified branching particle filters
• Post-'87 crash fears in the S\&P 500 futures option market
• Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization
• The time of deducting fees for variable annuities under the state-dependent fee structure
• Financial valuation of guaranteed minimum withdrawal benefits
• Pricing and hedging of variable annuities with state-dependent fees
• GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
• A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
• Risk based capital for guaranteed minimum withdrawal benefit
• EXPLICIT HESTON SOLUTIONS AND STOCHASTIC APPROXIMATION FOR PATH-DEPENDENT OPTION PRICING
• STATE-DEPENDENT FEES FOR VARIABLE ANNUITY GUARANTEES
• On Random Field Completely Automated Public Turing Test to Tell Computers and Humans Apart Generation
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• A Comparative Study of Risk Measures for Guaranteed Minimum Maturity Benefits by a PDE Method
• Impact of Flexible Periodic Premiums on Variable Annuity Guarantees
• Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model