Financial valuation of guaranteed minimum withdrawal benefits

DOI10.1016/j.insmatheco.2005.06.012zbMath1116.91048MaRDI QIDQ2507939

Thomas S. Salisbury, Moshe Arye Milevsky

Publication date: 5 October 2006

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.06.012

zbMATH Keywords

pensions; Asian options; portfolio insurance; annuities; put options

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals, A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB), The effect of modelling parameters on the value of GMWB guarantees, On modelling long term stock returns with ergodic diffusion processes: arbitrage and arbitrage-free specifications

Uses Software

• Derivatives

Cites Work

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