A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions

DOI10.1016/j.insmatheco.2012.12.005zbMath1284.91279OpenAlexW1972807868MaRDI QIDQ2442519

Sharon S. Yang, Tian-Shyr Dai

Publication date: 3 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.12.005

zbMATH Keywords

surrender optionstree modelguaranteed minimum withdrawal benefitsdeferred variable annuityrollup interest rate guarantees

Mathematics Subject Classification ID

Related Items

A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders ⋮ Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method ⋮ Moment matching machine learning methods for risk management of large variable annuity portfolios ⋮ A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model ⋮ Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk ⋮ Valuation of general GMWB annuities in a low interest rate environment ⋮ Two-phase selection of representative contracts for valuation of large variable annuity portfolios ⋮ Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach ⋮ Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models ⋮ A lattice approach to evaluate participating policies in a stochastic interest rate framework ⋮ RISK-BASED CAPITAL FOR VARIABLE ANNUITY UNDER STOCHASTIC INTEREST RATE ⋮ Equity-linked guaranteed minimum death benefits with dollar cost averaging ⋮ Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits ⋮ Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks ⋮ An optimal stochastic control framework for determining the cost of hedging of variable annuities ⋮ Application of data clustering and machine learning in variable annuity valuation ⋮ Optimal initiation of a GLWB in a variable annuity: no arbitrage approach ⋮ Real-Time Valuation of Large Variable Annuity Portfolios: A Green Mesh Approach ⋮ Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method ⋮ Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models ⋮ Valuation of large variable annuity portfolios under nested simulation: a functional data approach ⋮ Variable annuity pricing, valuation, and risk management: a survey

Cites Work

• A binomial model for valuing equity-linked policies embedding surrender options
• The effect of modelling parameters on the value of GMWB guarantees
• Valuation of guaranteed annuity conversion options.
• The valuation of unit-linked policies with or without surrender options
• Financial valuation of guaranteed minimum withdrawal benefits
• The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
• GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
• A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks
• A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
• Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree
• Guaranteed Annuity Options
• Option pricing: A simplified approach