Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility
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Publication:2879036
DOI10.1080/14697688.2013.837580zbMath1294.91075OpenAlexW2043735250MaRDI QIDQ2879036
Sebastian Jaimungal, Dmitri H. Rubisov, Ryan Donnelly
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
stochastic volatilityAsian optionsADI methodsstochastic interest ratesinsurance guaranteesmixed fundwithdrawal benefits
Related Items (16)
Risk based capital for guaranteed minimum withdrawal benefit ⋮ CALCULATING VARIABLE ANNUITY LIABILITY “GREEKS” USING MONTE CARLO SIMULATION ⋮ Valuation of general GMWB annuities in a low interest rate environment ⋮ Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk ⋮ Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models ⋮ TAXATION OF A GMWB VARIABLE ANNUITY IN A STOCHASTIC INTEREST RATE MODEL ⋮ Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates ⋮ A MIXED BOND AND EQUITY FUND MODEL FOR THE VALUATION OF VARIABLE ANNUITIES ⋮ An optimal stochastic control framework for determining the cost of hedging of variable annuities ⋮ Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products ⋮ FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY ⋮ Optimal initiation of a GLWB in a variable annuity: no arbitrage approach ⋮ Variable annuities: market incompleteness and policyholder behavior ⋮ Gaussian process regression for pricing variable annuities with stochastic volatility and 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 ⋮ Geometric Asian options pricing under the double Heston stochastic volatility model with stochastic interest rate
Cites Work
- The effect of modelling parameters on the value of GMWB guarantees
- Hedging guarantees in variable annuities under both equity and interest rate risks
- A Theory of the Term Structure of Interest Rates
- GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
- Fourier space time-stepping for option pricing with Lévy models
- Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
- An equilibrium characterization of the term structure
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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