Equity-linked guaranteed minimum death benefits with dollar cost averaging
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Cites work
- scientific article; zbMATH DE number 1742902 (Why is no real title available?)
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- A binomial model for valuing equity-linked policies embedding surrender options
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- A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
- A general framework for time-changed Markov processes and applications
- A jump-diffusion model for option pricing
- A novel pricing method for European options based on Fourier-cosine series expansions
- An analysis of dollar cost averaging and market timing investment strategies
- An efficient transform method for Asian option pricing
- Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products
- Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws
- Analytical calculation of risk measures for variable annuity guaranteed benefits
- Computing the Gerber-Shiu function by frame duality projection
- Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
- Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
- Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions
- Efficient pricing of ratchet equity indexed annuities in a Variance-Gamma economy
- Endogenous model of surrender conditions in equity-linked life insurance
- Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
- Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality
- General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
- Geometric stopping of a random walk and its applications to valuing equity-linked death benefits
- Hedging guarantees in variable annuities under both equity and interest rate risks
- Lévy insurance risk process with Poissonian taxation
- OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
- Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals
- Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
- Option pricing when underlying stock returns are discontinuous
- Pricing EIA with cliquet-style guarantees under time-changed Lévy models by frame duality projection
- Pricing and hedging of cliquet options and locally capped contracts
- Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
- Pricing annuity guarantees under a double regime-switching model
- Pricing arithmetic Asian options under Lévy models by backward induction in the dual space
- Pricing equity-indexed annuities with path-dependent options.
- Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model
- Pricing equity-linked pure endowments with risky assets that follow Lévy processes
- Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
- Pricing of Ratchet equity-indexed annuities under stochastic interest rates
- Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
- Processes of normal inverse Gaussian type
- Quantile hedging for guaranteed minimum death benefits
- Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits
- Some pricing tools for the variance gamma model
- Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
- The Variance Gamma Process and Option Pricing
- The existence of optimal bang-bang controls for GMxB contracts
- Valuation of longevity-linked life annuities
- Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate
- Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach
- Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
- Valuing Equity-Indexed Annuities
- Valuing equity-linked death benefits and other contingent options: a discounted density approach
- Valuing equity-linked death benefits in a regime-switching framework
- Valuing equity-linked death benefits in general exponential Lévy models
- Valuing equity-linked death benefits in jump diffusion models
- Valuing equity-linked death benefits with a threshold expense strategy
- Valuing guaranteed equity-linked contracts by Laguerre series expansion
- Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality
- Valuing the guaranteed minimum death benefit clause with partial withdrawals
- Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits
- Variable annuities in a Lévy-based hybrid model with surrender risk
- Willow tree algorithms for pricing guaranteed minimum withdrawal benefits under jump-diffusion and CEV models
Cited in
(18)- Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk
- Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees
- Valuation of variable annuities under stochastic volatility and stochastic jump intensity
- Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model
- Randomization and the valuation of guaranteed minimum death benefits
- Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model
- Risk-neutral valuation of GLWB riders in variable annuities
- Closed-form option pricing for exponential Lévy models: a residue approach
- An explicit option-based strategy that outperforms dollar cost averaging
- An analysis of dollar cost averaging and market timing investment strategies
- Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method
- WITHDRAWAL SUCCESS ESTIMATION
- Valuing inflation-linked death benefits under a stochastic volatility framework
- Pricing some life-contingent lookback options under regime-switching Lévy models
- Valuation of cliquet-style guarantees with death benefits
- Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models
- SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS
- Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
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