Efficient valuation of a variable annuity contract with a surrender option
DOI10.1007/S13160-019-00401-2zbMATH Open1435.91153OpenAlexW2991200433WikidataQ126663425 ScholiaQ126663425MaRDI QIDQ2300964FDOQ2300964
Authors: Junkee Jeon, Geonwoo Kim 
Publication date: 28 February 2020
Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13160-019-00401-2
Recommendations
- Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities
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- Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models
Actuarial mathematics (91G05) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Laplace transform (44A10) Financial applications of other theories (91G80)
Cites Work
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- Numerical Inversion of Laplace Transforms of Probability Distributions
- Valuing continuous-installment options
- Valuing finite-lived Russian options
- On convergence of Laplace inversion for the American put option under the CEV model
- The Accurate Numerical Inversion of Laplace Transforms
- Valuing American options under the CEV model by Laplace-Carson transforms
- Optimal surrender policy for variable annuity guarantees
- Optimizing Talbot’s Contours for the Inversion of the Laplace Transform
- Randomization and the American put
- Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities
- Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
- An operational calculus for probability distributions via Laplace transforms
- A simple and fast method for valuing American knock-out options with rebates
- Analytic solution for American strangle options using Laplace-Carson transforms
Cited In (7)
- A comparison between different numerical schemes for the valuation of unit-linked contracts embedding a surrender option
- Variational inequality arising from variable annuity with mean reversion environment
- Variable annuity with a surrender option under multiscale stochastic volatility
- Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
- Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models
- VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS
- Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities
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