Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
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Publication:2513624
guaranteed lifetime withdrawal benefits (GLWB)model riskparameter riskstatic hedgingsystematic mortality riskvariable annuity
Recommendations
- Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
- Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
- Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits
- Indifference pricing of a GLWB option in variable annuities
- Annuity uncertainty with stochastic mortality and interest rates
Cites work
- Affine processes for dynamic mortality and actuarial valuations
- Affine stochastic mortality
- Calibrating affine stochastic mortality models using term assurance premiums
- Financial valuation of guaranteed minimum withdrawal benefits
- scientific article; zbMATH DE number 6971094 (Why is no real title available?)
- Interest rate models -- theory and practice. With smile, inflation and credit
- Investment guarantees: Modeling and risk management for equity-linked life insurance
- Longevity risk in portfolios of pension annuities
- Modeling and management of mortality risk: a review
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- Pricing European options on deferred annuities
- Pricing of Unit-linked Life Insurance Policies
- Semi-static hedging for GMWB in variable annuities
- Stochastic interest rate in life insurance: The principle of equivalence revisited
- Term-structure models. A graduate course
- The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
- Valuation and hedging of life insurance liabilities with systematic mortality risk
Cited in
(31)- A comparative study of pricing approaches for longevity instruments
- Pricing equity-linked life insurance contracts with multiple risk factors by neural networks
- Equity-linked guaranteed minimum death benefits with dollar cost averaging
- The impact of longevity and investment risk on a portfolio of life insurance liabilities
- Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis
- Analytical calculation of risk measures for variable annuity guaranteed benefits
- Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
- Valuing guaranteed minimum accumulation benefits by a change of numéraire approach
- Statutory financial reporting for variable annuity guaranteed death benefits: market practice, mathematical modeling and computation
- Semi-static hedging of variable annuities
- The valuation of a guaranteed minimum maturity benefit under a regime-switching framework
- Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
- Basis risk in static versus dynamic longevity-risk hedging
- Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals
- Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
- Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
- A Comparative Study of Risk Measures for Guaranteed Minimum Maturity Benefits by a PDE Method
- Indifference pricing of a GLWB option in variable annuities
- Annuity uncertainty with stochastic mortality and interest rates
- Variable annuity pricing, valuation, and risk management: a survey
- Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation
- Analysis of fair fee in guaranteed lifelong withdrawal and Markovian health benefits
- Risk-neutral valuation of GLWB riders in variable annuities
- Valuing Lifetime Withdrawal Guarantees in RILAs
- Coping with longevity via hedging: fair dynamic valuation of variable annuities
- Efficient pricing and greeks estimation for variable annuities under a multivariate OUSV model
- Optimal valuation of variable annuity guaranteed lifetime withdrawal benefits with embedded top-up option
- Risk management of guaranteed minimum benefits under a regime-switching jump-diffusion model
- Guaranteed Minimum Maturity Benefits in a Self-Exciting Stochastic Mortality Model: Pricing, Estimation and Calibration
- Guaranteed minimum income benefit valuation via a numéraire transformation approach
- Calibrating Gompertz in reverse: what is your longevity-risk-adjusted global age?
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