Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
From MaRDI portal
Publication:1742704
Recommendations
- Optimal surrender policy of guaranteed minimum maturity benefits in variable annuities with regime-switching volatility
- Optimal surrender policy for variable annuity guarantees
- Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
- Optimal surrender time for a variable annuity with a fixed insurance fee
- Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities
Cites work
- A binomial model for valuing equity-linked policies embedding surrender options
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A theory of the term structure of interest rates
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- An equilibrium characterization of the term structure
- Empirical evidence on Student-t log-returns of diversified world stock indices
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- 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 1332331 (Why is no real title available?)
- Nonlinear economic dynamics and financial modelling. Essays in honour of Carl Chiarella
- On the Heston model with stochastic interest rates
- Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection
- Optimal Stopping and the American Put
- Optimal surrender policy for variable annuity guarantees
- Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
- Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
- Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
- Pricing interest-rate-derivative securities
- Risk minimization in stochastic volatility models: model risk and empirical performance
- Semi-static hedging of variable annuities
- THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
- The pricing of options and corporate liabilities
- The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
- The time-discrete method of lines for options and bonds. A PDE approach
- The valuation of unit-linked policies with or without surrender options
- Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
- Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
- Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility
Cited in
(28)- 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
- Equity-linked guaranteed minimum death benefits with dollar cost averaging
- 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
- A unified option pricing model with Markov regime-switching double stochastic volatility, stochastic interest rate and jumps
- Risk-based capital for variable annuity under stochastic interest rate
- 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
- A Comparative Study of Risk Measures for Guaranteed Minimum Maturity Benefits by a PDE Method
- 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
- Optimal surrender policy of guaranteed minimum maturity benefits in variable annuities with regime-switching volatility
- 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
- Valuation of guaranteed lifelong withdrawal benefit with the long-term care option
- Optimizing portfolios with surrender variable annuities: a deep reinforcement learning approach
- Innovative combo product design embedding variable annuity and long-term care insurance contracts
- Pricing and optimal surrender strategies of variable annuities with correlated interest rates and jump-diffusion equity
- A two-account pricing framework for hybrid variable annuity contract embedded with living and death benefit riders
- Optimal surrender policy for variable annuity guarantees
This page was built for publication: Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1742704)
