Valuing variable annuity guarantees on multiple assets
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Publication:4575460
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Cites work
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- A YIELD‐FACTOR MODEL OF INTEREST RATES
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A theory of the term structure of interest rates
- Affine processes for dynamic mortality and actuarial valuations
- Analytical calculation of risk measures for variable annuity guaranteed benefits
- Density approximations for multivariate affine jump-diffusion processes
- Financial valuation of guaranteed minimum withdrawal benefits
- Mortality derivatives and the option to annuitise.
- Option pricing when correlations are stochastic: an analytical framework
- Post-'87 crash fears in the S\&P 500 futures option market
- Pricing European options on deferred annuities
- Pricing and hedging variable annuity guarantees with multiasset stochastic investment models
- Pricing annuity guarantees under a regime-switching model
- Pricing of mountain range derivatives under a principal component stochastic volatility model
- Pricing range notes within Wishart affine models
- Probability essentials.
- Recursions and fast Fourier transforms for a new bivariate aggregate claims model
- Riding on the smiles
- The pricing of options and corporate liabilities
- The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
- Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
- Valuing the guaranteed minimum death benefit clause with partial withdrawals
- Valuing variable annuity guarantees with the multivariate Esscher transform
Cited in
(17)- Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality
- A general model for the analysis and valuation of guaranteed minimum benefits in fonds policies
- Valuing inflation-linked death benefits under a stochastic volatility framework
- Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method
- Scenario selection with LASSO regression for the valuation of variable annuity portfolios
- Weighted utility optimization of the participating endowment contract
- Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing
- Pricing and hedging variable annuity guarantees with multiasset stochastic investment models
- Less-expensive valuation and reserving of long-dated variable annuities when interest rates and mortality rates are stochastic
- Variable annuity pricing, valuation, and risk management: a survey
- The valuation of a guaranteed minimum maturity benefit under a regime-switching framework
- Pricing variable annuities embedding various guaranteed minimum benefits
- Valuing guaranteed minimum accumulation benefits by a change of numéraire approach
- Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- Affordable and adequate annuities with stable payouts: fantasy or reality?
- Valuing variable annuity guarantees with the multivariate Esscher transform
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