Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility
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Publication:2879036
DOI10.1080/14697688.2013.837580zbMATH Open1294.91075OpenAlexW2043735250MaRDI QIDQ2879036FDOQ2879036
Authors: Ryan Donnelly, Sebastian Jaimungal, Dmitri H. Rubisov 
Publication date: 5 September 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2013.837580
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stochastic interest ratesstochastic volatilityAsian optionsADI methodsinsurance guaranteesmixed fundwithdrawal benefits
Cites Work
- A theory of the term structure of interest rates
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- An equilibrium characterization of the term structure
- Guaranteed minimum withdrawal benefit in variable annuities
- Hedging guarantees in variable annuities under both equity and interest rate risks
- The effect of modelling parameters on the value of GMWB guarantees
- Fourier space time-stepping for option pricing with Lévy models
- Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
Cited In (22)
- 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
- Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality
- Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products
- A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
- Calculating variable annuity liability ``Greeks using Monte Carlo simulation
- Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
- Risk based capital for guaranteed minimum withdrawal benefit
- Mitigating interest rate risk in variable annuities: an analysis of hedging effectiveness under model risk
- Variable annuities: market incompleteness and policyholder behavior
- Valuation of general GMWB annuities in a low interest rate environment
- Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate
- Geometric Asian options pricing under the double Heston stochastic volatility model with stochastic interest rate
- Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals
- Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
- Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
- 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
- Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach
- Pricing maturity guarantee with dynamic withdrawal benefit
- A mixed bond and equity fund model for the valuation of variable annuities
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