Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates

DOI10.1016/j.insmatheco.2017.12.012zbMath1400.91249OpenAlexW3124098186MaRDI QIDQ1742704

Boda Kang, Jonathan Ziveyi

Publication date: 12 April 2018

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

Full work available at URL: https://eprints.whiterose.ac.uk/126007/1/MOL_Guarantee_Main.pdf

zbMATH Keywords

stochastic volatilitymethod of linesstochastic interest ratesdynamic hedgingvariable annuitiesGMMBoptimal surrender

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method, A unified option pricing model with Markov regime-switching double stochastic volatility, stochastic interest rate and jumps, Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation, Valuation of general GMWB annuities in a low interest rate environment, Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk, 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, RISK-BASED CAPITAL FOR VARIABLE ANNUITY UNDER STOCHASTIC INTEREST RATE, Equity-linked guaranteed minimum death benefits with dollar cost averaging, Pricing variable annuity with surrender guarantee, Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method, Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models, Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis, Application of power series approximation techniques to valuation of European style options, 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

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Semi-static hedging of variable annuities
• Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
• Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection
• Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
• Optimal surrender policy for variable annuity guarantees
• A binomial model for valuing equity-linked policies embedding surrender options
• Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
• Empirical evidence on Student-\(t\) log-returns of diversified world stock indices
• The valuation of unit-linked policies with or without surrender options
• Hedging guarantees in variable annuities under both equity and interest rate risks
• Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
• A Theory of the Term Structure of Interest Rates
• Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility
• On the Heston Model with Stochastic Interest Rates
• The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
• Risk minimization in stochastic volatility models: model risk and empirical performance
• A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
• THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
• Optimal Stopping and the American Put
• Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
• The Time-Discrete Method of Lines for Options and Bonds
• An equilibrium characterization of the term structure
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Pricing Interest-Rate-Derivative Securities
• Nonlinear Economic Dynamics and Financial Modelling
• Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option