Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
From MaRDI portal
Publication:343983
DOI10.1016/J.INSMATHECO.2016.04.006zbMATH Open1369.91195OpenAlexW3125420583MaRDI QIDQ343983FDOQ343983
Authors: Yang Shen, Michael Sherris, Jonathan Ziveyi 
Publication date: 21 November 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.04.006
Recommendations
- Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
- Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits
- Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate
- Optimal surrender policy of guaranteed minimum maturity benefits in variable annuities with regime-switching volatility
- Efficient valuation of a variable annuity contract with a surrender option
- Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities
- Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
- Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization
- Pricing variable annuities embedding various guaranteed minimum benefits
numerical integrationvariable annuityguaranteed minimum maturity benefithedge ratiossurrender option
Cites Work
- The pricing of options and corporate liabilities
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- Financial valuation of guaranteed minimum withdrawal benefits
- Optimal Stopping and the American Put
- Fair valuation of participating policies with surrender options and regime switching
- Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
- Optimal surrender policy for variable annuity guarantees
- The pricing of the American option
- The valuation of unit-linked policies with or without surrender options
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
- Pricing American options written on two underlying assets
- Title not available (Why is that?)
- Valuation perspectives and decompositions for variable annuities with GMWB riders
- A binomial model for valuing equity-linked policies embedding surrender options
Cited In (25)
- Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
- Optimal surrender time for a variable annuity with a fixed insurance fee
- Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method
- Surrender and path-dependent guarantees in variable annuities: integral equation solutions and benchmark methods
- Efficient valuation of a variable annuity contract with a surrender option
- Variational inequality arising from variable annuity with mean reversion environment
- Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
- Optimal surrender policy for variable annuity guarantees
- Variable annuity with a surrender option under multiscale stochastic volatility
- Pricing variable annuity with surrender guarantee
- Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
- Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method
- Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models
- Hedging longevity risk in defined contribution pension schemes
- VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS
- Real-time valuation of large variable annuity portfolios: a Green mesh approach
- Taxation and policyholder behavior: the case of guaranteed minimum accumulation benefits
- Guaranteed minimum surrender benefits in variable annuities: the impact of regulator-imposed guarantees
- Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
- Portfolio optimization with a guaranteed minimum maturity benefit and risk-adjusted fees
- An analytical study of participating policies with minimum rate guarantee and surrender option
- Variable annuities in a Lévy-based hybrid model with surrender risk
- Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities
- Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk
- Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees
This page was built for publication: Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q343983)
