Equity-linked guaranteed minimum death benefits with dollar cost averaging
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Publication:2234775
DOI10.1016/J.INSMATHECO.2021.04.012zbMATH Open1471.91465OpenAlexW3159956631MaRDI QIDQ2234775FDOQ2234775
Authors: Yanyan Li 
Publication date: 19 October 2021
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2021.04.012
Recommendations
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- Valuing equity-linked death benefits and other contingent options: a discounted density approach
variable annuityannuityguaranteed minimum death benefitGMDBequity-linkeddollar cost averagingGMxBLévy
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Cited In (18)
- 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
- Pricing some life-contingent lookback options under regime-switching Lévy models
- Valuing inflation-linked death benefits under a stochastic volatility framework
- Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models
- Valuation of cliquet-style guarantees with death benefits
- SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS
- Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
- 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
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