A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model
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Publication:4575461
DOI10.1080/03461238.2015.1119716zbMATH Open1401.91121OpenAlexW2284947900MaRDI QIDQ4575461FDOQ4575461
Authors:
Publication date: 13 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2015.1119716
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Cites Work
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
- Financial valuation of guaranteed minimum withdrawal benefits
- Guaranteed minimum withdrawal benefit in variable annuities
- A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
- Multinomial Approximating Models for Options with k State Variables
- A Regime-Switching Model of Long-Term Stock Returns
- The effect of modelling parameters on the value of GMWB guarantees
- Validation Of Long-Term Equity return Models For Equity-Linked Guarantees
- A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
- Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
- Option pricing with regime switching by trinomial tree method
Cited In (10)
- 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
- A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
- Efficient lattice method for valuing of options with barrier in a regime switching model
- TAXATION OF A GMWB VARIABLE ANNUITY IN A STOCHASTIC INTEREST RATE MODEL
- Valuation of general GMWB annuities in a low interest rate environment
- Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate
- RISK-BASED CAPITAL FOR VARIABLE ANNUITY UNDER STOCHASTIC INTEREST RATE
- A numerical method for annuity-purchasing decision making to minimize the probability of financial ruin for regime-switching wealth models
- Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models
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