Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
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Publication:2869985
Recommendations
- Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate
- Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
- Guaranteed minimum withdrawal benefit in variable annuities
- Indifference pricing of a GLWB option in variable annuities
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
Cites work
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
- Financial valuation of guaranteed minimum withdrawal benefits
- Pricing of Ratchet equity-indexed annuities under stochastic interest rates
- The effect of modelling parameters on the value of GMWB guarantees
- The value of an Asian option
Cited in
(48)- Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality
- Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
- Valuation perspectives and decompositions for variable annuities with GMWB riders
- Real-time valuation of large variable annuity portfolios: a Green mesh approach
- A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model
- Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
- Taxation of a GMWB variable annuity in a stochastic interest rate model
- Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate
- A semi-Lagrangian \(\epsilon\)-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate
- Risk-based capital for variable annuity under stochastic interest rate
- A Comparative Study of Risk Measures for Guaranteed Minimum Maturity Benefits by a PDE Method
- Risk based capital for guaranteed minimum withdrawal benefit
- Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach
- An optimal stochastic control framework for determining the cost of hedging of variable annuities
- Mitigating interest rate risk in variable annuities: an analysis of hedging effectiveness under model risk
- Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits
- Indifference pricing of a GLWB option in variable annuities
- Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
- Willow tree algorithms for pricing guaranteed minimum withdrawal benefits under jump-diffusion and CEV models
- Calculating variable annuity liability ``Greeks using Monte Carlo simulation
- Variable annuity pricing, valuation, and risk management: a survey
- Coping with longevity via hedging: fair dynamic valuation of variable annuities
- Regression modeling for the valuation of large variable annuity portfolios
- The valuation of a guaranteed minimum maturity benefit under a regime-switching framework
- Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products
- Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
- The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
- Time series model for GLWB with surrender benefit and stochastic interest rate: dynamic withdrawal approach
- An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit
- Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals
- Pricing maturity guarantee with dynamic withdrawal benefit under Vasicek interest rate model
- Semi-static hedging for GMWB in variable annuities
- Pricing maturity guarantee with dynamic withdrawal benefit
- Financial valuation of guaranteed minimum withdrawal benefits
- Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
- Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility
- Guaranteed minimum withdrawal benefit in variable annuities
- Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate
- Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits
- Pricing pension buy-outs under stochastic interest and mortality rates
- Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models
- A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- Analytical approximation of variable annuities for small volatility and small withdrawal
- A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
- Variable annuities: market incompleteness and policyholder behavior
- A Hybrid Model for Pricing and Hedging of Long-dated Bonds
- Valuation of general GMWB annuities in a low interest rate environment
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