A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model
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Publication:4575461
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Cites Work
- A Regime-Switching Model of Long-Term Stock Returns
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
- A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
- Financial valuation of guaranteed minimum withdrawal benefits
- Guaranteed minimum withdrawal benefit in variable annuities
- Multinomial Approximating Models for Options with k State Variables
- Option pricing with regime switching by trinomial tree method
- Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
- The effect of modelling parameters on the value of GMWB guarantees
- The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
- Validation of long-term equity return models for equity-linked guarantees
Cited In (13)
- Risk-based capital for variable annuity under stochastic interest rate
- Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing
- Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
- Willow tree algorithms for pricing guaranteed minimum withdrawal benefits under jump-diffusion and CEV models
- A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
- Analytical approximation of variable annuities for small volatility and small withdrawal
- Efficient lattice method for valuing of options with barrier in a regime switching model
- A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders
- Valuation of general GMWB annuities in a low interest rate environment
- Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate
- A numerical method for annuity-purchasing decision making to minimize the probability of financial ruin for regime-switching wealth models
- Taxation of a GMWB variable annuity in a stochastic interest rate model
- Hedging costs for variable annuities under regime-switching
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