Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits
DOI10.1016/J.INSMATHECO.2015.04.001zbMATH Open1348.91182OpenAlexW3124203948MaRDI QIDQ495479FDOQ495479
Olivia S. Mitchell, Petra Steinorth
Publication date: 14 September 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://repository.upenn.edu/cgi/viewcontent.cgi?article=1143&context=prc_papers
Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
- Analytical calculation of risk measures for variable annuity guaranteed benefits
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- Financial valuation of guaranteed minimum withdrawal benefits
- GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
- Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
- The Effect of Policyholder Transfer Behavior on the Value of Guaranteed Minimum Death Benefits
- Wealth Inequality and Intergenerational Links
- Optimal surrender policy for variable annuity guarantees
- The effect of modelling parameters on the value of GMWB guarantees
- Following the rules: integrating asset allocation and annuitization in retirement portfolios
- Optimal asset allocation in life annuities: a note.
- A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
- Optimal consumption and allocation in variable annuities with guaranteed minimum death benefits
- Revisiting the Risk-Neutral Approach to Optimal Policyholder Behavior: A Study of Withdrawal Guarantees in Variable Annuities *
- Optimizing the equity-bond-annuity portfolio in retirement: the impact of uncertain health expenses
Cited In (19)
- Real-Time Valuation of Large Variable Annuity Portfolios: A Green Mesh Approach
- Coping with longevity via hedging: fair dynamic valuation of variable annuities
- Risk-neutral valuation of GLWB riders in variable annuities
- Optimal consumption and allocation in variable annuities with guaranteed minimum death benefits
- Variable annuity pricing, valuation, and risk management: a survey
- Macro longevity risk and the choice between annuity products: evidence from Denmark
- Variable annuities: market incompleteness and policyholder behavior
- Refundable income annuities: feasibility of money-back guarantees
- Valuing Lifetime Withdrawal Guarantees in RILAs
- Policyholder Exercise Behavior in Life Insurance: The State of Affairs
- Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals
- Optimal allocation and consumption with guaranteed minimum death benefits, external income and term life insurance
- Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
- Hedging longevity risk in defined contribution pension schemes
- Analytic valuation of GMDB options with utility based asset allocation
- Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
- Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach
- Equity-linked guaranteed minimum death benefits with dollar cost averaging
- Pricing bounds and bang-bang analysis of the Polaris variable annuities
This page was built for publication: Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q495479)
