Valuing guaranteed minimum accumulation benefits by a change of numéraire approach
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Publication:2670118
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Cites work
- A comonotonicity-based valuation method for guaranteed annuity options
- A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach
- A neural network approach to efficient valuation of large portfolios of variable annuities
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws
- Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
- Annuity contract valuation under dependent risks
- Application of data clustering and machine learning in variable annuity valuation
- Financial valuation of guaranteed minimum withdrawal benefits
- Guaranteed minimum withdrawal benefit in variable annuities
- scientific article; zbMATH DE number 6971094 (Why is no real title available?)
- Investment guarantees: Modeling and risk management for equity-linked life insurance
- Mortality modelling with regime-switching for the valuation of a guaranteed annuity option
- On systematic mortality risk and risk-minimization with survivor swaps
- On the (in-)dependence between financial and actuarial risks
- On the optimal filtering of diffusion processes
- Optimal surrender policy for variable annuity guarantees
- Parameter estimation in a regime-switching model with non-normal noise
- Pricing a guaranteed annuity option under correlated and regime-switching risk factors
- Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
- Pricing maturity guarantee with dynamic withdrawal benefit
- Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits
- Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
- The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
- The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
- Three ways to solve for bond prices in the Vasiček model
- Valuation of large variable annuity portfolios under nested simulation: a functional data approach
- Valuation perspectives and decompositions for variable annuities with GMWB riders
- Valuing equity-linked death benefits in jump diffusion models
- Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model
Cited in
(9)- A Comparative Study of Risk Measures for Guaranteed Minimum Maturity Benefits by a PDE Method
- Hedging longevity risk in defined contribution pension schemes
- Two-phase selection of representative contracts for valuation of large variable annuity portfolios
- Randomization and the valuation of guaranteed minimum death benefits
- Time-invariant portfolio strategies in structured products with guaranteed minimum equity exposure
- Efficient valuation of variable annuities under regime-switching jump diffusion models with surrender risk and mortality risk
- Efficient valuation of guaranteed minimum accumulation benefits in regime switching jump diffusion models with lapse risk
- Guaranteed minimum income benefit valuation via a numéraire transformation approach
- Pricing a guaranteed annuity option under a stochastic correlation setting
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