Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
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Cites work
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- Pricing interest-rate-derivative securities
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Cited in
(27)- Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
- Pricing variable annuity with surrender guarantee
- Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method
- Pricing longevity derivatives via Fourier transforms
- Fourier based methods for the management of complex life insurance products
- Stochastic optimal switching model for migrating population dynamics
- Variable annuities in a Lévy-based hybrid model with surrender risk
- Pricing bounds and bang-bang analysis of the Polaris variable annuities
- Willow tree algorithms for pricing guaranteed minimum withdrawal benefits under jump-diffusion and CEV models
- A Comparative Study of Risk Measures for Guaranteed Minimum Maturity Benefits by a PDE Method
- Variable annuity pricing, valuation, and risk management: a survey
- Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method
- Valuation of general GMWB annuities in a low interest rate environment
- Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees
- Risk-neutral valuation of GLWB riders in variable annuities
- Analyzing the interest rate risk of equity-indexed annuities via scenario matrices
- Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
- Scenario selection with LASSO regression for the valuation of variable annuity portfolios
- A semi-Lagrangian -monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate
- Efficient valuation of variable annuities under regime-switching jump diffusion models with surrender risk and mortality risk
- Pricing maturity guarantee with dynamic withdrawal benefit
- Optimal valuation of variable annuity guaranteed lifetime withdrawal benefits with embedded top-up option
- Numerical analysis of American option pricing in a two-asset jump-diffusion model
- Efficient valuation of guaranteed minimum accumulation benefits in regime switching jump diffusion models with lapse risk
- Innovative combo product design embedding variable annuity and long-term care insurance contracts
- Pricing and optimal surrender strategies of variable annuities with correlated interest rates and jump-diffusion equity
- Variable annuity portfolio valuation with Shapley additive explanations
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