Revisiting the risk-neutral approach to optimal policyholder behavior: a study of withdrawal guarantees in variable annuities
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Publication:4554769
Recommendations
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- Refundable income annuities: feasibility of money-back guarantees
- Optimal allocation and consumption with guaranteed minimum death benefits, external income and term life insurance
- Affordable and adequate annuities with stable payouts: fantasy or reality?
- Optimal consumption and allocation in variable annuities with guaranteed minimum death benefits
- Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
- Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
- Hedging costs for variable annuities under regime-switching
- The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
- Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits
- Application of power series approximation techniques to valuation of European style options
- The economics of a secondary market for variable annuities
- Analytic valuation of GMDB options with utility based asset allocation
- Taxation of a GMWB variable annuity in a stochastic interest rate model
- State-dependent fees for variable annuity guarantees
- 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
- Policyholder exercise behavior in life insurance: the state of affairs
- Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality
- Variable annuity pricing, valuation, and risk management: a survey
- Taxation and policyholder behavior: the case of guaranteed minimum accumulation benefits
- Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
- A two-account pricing framework for hybrid variable annuity contract embedded with living and death benefit riders
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