Optimal consumption and allocation in variable annuities with guaranteed minimum death benefits

DOI10.1016/j.insmatheco.2012.08.003zbMath1285.91056OpenAlexW1964167574MaRDI QIDQ2447413

Jin Gao, Eric R. Ulm

Publication date: 25 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.08.003

zbMATH Keywords

expected utilityvariable annuityMerton modelguaranteed minimum death benefits (GMDB)

Mathematics Subject Classification ID

Related Items (15)

Analytic valuation of GMDB options with utility based asset allocation ⋮ Moment matching machine learning methods for risk management of large variable annuity portfolios ⋮ An overview of exact solution methods for guaranteed minimum death benefit options in variable annuities ⋮ On the Interaction between Transfer Restrictions and Crediting Strategies in Guaranteed Funds ⋮ Policyholder Exercise Behavior in Life Insurance: The State of Affairs ⋮ Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection ⋮ Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits ⋮ Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model ⋮ Application of data clustering and machine learning in variable annuity valuation ⋮ Optimal initiation of a GLWB in a variable annuity: no arbitrage approach ⋮ Variable annuities: market incompleteness and policyholder behavior ⋮ Pricing bounds and bang-bang analysis of the Polaris variable annuities ⋮ Valuation of large variable annuity portfolios under nested simulation: a functional data approach ⋮ Optimal allocation and consumption with guaranteed minimum death benefits, external income and term life insurance ⋮ Variable annuity pricing, valuation, and risk management: a survey

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