Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate

DOI10.1016/j.insmatheco.2017.06.008zbMath1395.91503arXiv1602.03238OpenAlexW3124792404MaRDI QIDQ2404547

Xiaolin Luo, Pavel V. Shevchenko

Publication date: 19 September 2017

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

Full work available at URL: https://arxiv.org/abs/1602.03238

zbMATH Keywords

stochastic interest rateGauss-Hermite quadratureoptimal stochastic controlvariable annuityGuaranteed Minimum Withdrawal Benefitliving and death benefits

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20)

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Uses Software

• Hopscotch

Cites Work

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