Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization

DOI10.1016/j.insmatheco.2015.02.003zbMath1318.91117arXiv1411.5453OpenAlexW2017809994MaRDI QIDQ2347054

Xiaolin Luo, Pavel V. Shevchenko

Publication date: 26 May 2015

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

Full work available at URL: https://arxiv.org/abs/1411.5453

zbMATH Keywords

guaranteed minimum withdrawal benefitoptimal stochastic controlmortality riskguaranteed minimum death benefitvariable annuity

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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Cites Work

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• Financial valuation of guaranteed minimum withdrawal benefits
• GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
• Approximate Dynamic Programming
• A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities