Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
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Publication:2869985
DOI10.1080/14697680903436606zbMATH Open1279.91165OpenAlexW3125728648WikidataQ60148438 ScholiaQ60148438MaRDI QIDQ2869985FDOQ2869985
Jingjiang Peng, Kwai Sun Leung, Yue Kuen Kwok
Publication date: 17 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680903436606
Recommendations
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Cites Work
- The value of an Asian option
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- Financial valuation of guaranteed minimum withdrawal benefits
- 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
- Pricing of Ratchet equity-indexed annuities under stochastic interest rates
Cited In (37)
- A semi-Lagrangian \(\epsilon\)-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate
- An optimal stochastic control framework for determining the cost of hedging of variable annuities
- Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
- Real-Time Valuation of Large Variable Annuity Portfolios: A Green Mesh Approach
- Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk
- Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate
- Pricing pension buy-outs under stochastic interest and mortality rates
- Coping with longevity via hedging: fair dynamic valuation of variable annuities
- Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products
- Time series model for GLWB with surrender benefit and stochastic interest rate: dynamic withdrawal approach
- A Comparative Study of Risk Measures for Guaranteed Minimum Maturity Benefits by a PDE Method
- Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
- Risk based capital for guaranteed minimum withdrawal benefit
- Variable annuity pricing, valuation, and risk management: a survey
- The Valuation of a Guaranteed Minimum Maturity Benefit under a Regime-Switching Framework
- TAXATION OF A GMWB VARIABLE ANNUITY IN A STOCHASTIC INTEREST RATE MODEL
- A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders
- Variable annuities: market incompleteness and policyholder behavior
- Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits
- Valuation of general GMWB annuities in a low interest rate environment
- Financial valuation of guaranteed minimum withdrawal benefits
- A Hybrid Model for Pricing and Hedging of Long-dated Bonds
- Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model
- RISK-BASED CAPITAL FOR VARIABLE ANNUITY UNDER STOCHASTIC INTEREST RATE
- Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
- Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
- CALCULATING VARIABLE ANNUITY LIABILITY “GREEKS” USING MONTE CARLO SIMULATION
- Regression Modeling for the Valuation of Large Variable Annuity Portfolios
- The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
- Valuation perspectives and decompositions for variable annuities with GMWB riders
- Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
- Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models
- FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY
- Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach
- Pricing maturity guarantee with dynamic withdrawal benefit
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