Pricing and hedging of variable annuities with state-dependent fees

DOI10.1016/J.INSMATHECO.2014.06.002MaRDI QIDQ2513614zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

quadratic optimizationbackward stochastic differential equationsincomplete marketLévy processLévy clayton copula

Mathematics Subject Classification ID

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)

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• Pricing variable annuity guarantees in a local volatility framework
• Pricing inflation-linked variable annuities under stochastic interest rates

Cites work

• Approximation pricing and the variance-optimal martingale measure
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
• Construction of strong solutions of SDE's via Malliavin calculus
• Cross hedging with stochastic correlation
• Discrete-time approximation of decoupled Forward-Backward SDE with jumps
• Financial Modelling with Jump Processes
• Investment guarantees: Modeling and risk management for equity-linked life insurance
• Lévy Processes and Stochastic Calculus
• Making mean-variance hedging implementable in a partially observable market
• Mean Variance Hedging in a General Jump Model
• Mean-Variance Hedging When There Are Jumps
• Mean-variance hedging on uncertain time horizon in a market with a jump
• Mean-variance hedging via stochastic control and BSDEs for general semimartingales
• On the existence and explicit representability of strong solutions of Lévy noise driven SDE's with irregular coefficients
• Optimal surrender policy for variable annuity guarantees
• Partial Information Linear Quadratic Control for Jump Diffusions
• Pricing variable annuity guarantees in a local volatility framework
• State-dependent fees for variable annuity guarantees

Cited in

(22)

• State-dependent fees for variable annuity guarantees
• 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
• Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
• Variable annuity pricing, valuation, and risk management: a survey
• Valuing equity-linked death benefits with a threshold expense strategy
• Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
• 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
• The time of deducting fees for variable annuities under the state-dependent fee structure
• Indifference fee rate for variable annuities
• Computing deltas without derivatives

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