Pricing and hedging of variable annuities with state-dependent fees
DOI10.1016/J.INSMATHECO.2014.06.002zbMATH Open1304.91098OpenAlexW2093336414MaRDI QIDQ2513614FDOQ2513614
Authors: Łukasz Delong 
Publication date: 28 January 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.06.002
Recommendations
- Hedging costs for variable annuities under regime-switching
- Pricing and hedging variable annuity guarantees with multiasset stochastic investment models
- Semi-static hedging of variable annuities
- Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model
- Analytical pricing of variable annuities
- Variable annuity pricing, valuation, and risk management: a survey
- Optimal fee structure of variable annuities
- Pricing variable annuity guarantees in a local volatility framework
- Pricing inflation-linked variable annuities under stochastic interest rates
quadratic optimizationbackward stochastic differential equationsincomplete marketLévy processLévy clayton copula
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
- Financial Modelling with Jump Processes
- Investment guarantees: Modeling and risk management for equity-linked life insurance
- Discrete-time approximation of decoupled Forward-Backward SDE with jumps
- Backward Stochastic Differential Equations in Finance
- Mean-Variance Hedging When There Are Jumps
- Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
- Lévy Processes and Stochastic Calculus
- Approximation pricing and the variance-optimal martingale measure
- Mean-variance hedging on uncertain time horizon in a market with a jump
- Optimal surrender policy for variable annuity guarantees
- Construction of strong solutions of SDE's via Malliavin calculus
- Mean-variance hedging via stochastic control and BSDEs for general semimartingales
- Partial Information Linear Quadratic Control for Jump Diffusions
- On the existence and explicit representability of strong solutions of Lévy noise driven SDE's with irregular coefficients
- Pricing variable annuity guarantees in a local volatility framework
- State-dependent fees for variable annuity guarantees
- Cross hedging with stochastic correlation
- Mean Variance Hedging in a General Jump Model
- Making mean-variance hedging implementable in a partially observable market
Cited In (22)
- Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis
- Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model
- Variable annuity pricing, valuation, and risk management: a survey
- Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
- Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
- Valuing equity-linked death benefits with a threshold expense strategy
- Variable annuities: market incompleteness and policyholder behavior
- Valuation of general GMWB annuities in a low interest rate environment
- VIX-linked fees for GMWBs via explicit solution simulation methods
- Impact of flexible periodic premiums on variable annuity guarantees
- Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model
- Utilitarian versus neutralitarian design of endowment fund policies
- Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
- Strong solutions of some one-dimensional SDEs with random and unbounded drifts
- Taxation and policyholder behavior: the case of guaranteed minimum accumulation benefits
- Optimal fee structure of variable annuities
- Hedging costs for variable annuities under regime-switching
- The distribution of refracted Lévy processes with jumps having rational Laplace transforms
- Indifference fee rate for variable annuities
- The time of deducting fees for variable annuities under the state-dependent fee structure
- State-dependent fees for variable annuity guarantees
- Computing deltas without derivatives
This page was built for publication: Pricing and hedging of variable annuities with state-dependent fees
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2513614)
