Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits
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Publication:495479
DOI10.1016/J.INSMATHECO.2015.04.001zbMATH Open1348.91182OpenAlexW3124203948MaRDI QIDQ495479FDOQ495479
Authors: Petra Steinorth, Olivia S. Mitchell 
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
Recommendations
- Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
- Indifference pricing of a GLWB option in variable annuities
- Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
- Guaranteed minimum withdrawal benefit in variable annuities
- Variable annuities: market incompleteness and policyholder behavior
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 (26)
- Revisiting the risk-neutral approach to optimal policyholder behavior: a study of withdrawal guarantees in variable annuities
- Coping with longevity via hedging: fair dynamic valuation of variable annuities
- Risk-neutral valuation of GLWB riders in variable annuities
- 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
- Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
- Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility
- 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
- Indifference pricing of a GLWB option in variable annuities
- 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
- Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
- Real-time valuation of large variable annuity portfolios: a Green mesh approach
- Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection
- 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
- Policyholder exercise behavior in life insurance: the state of affairs
- Pricing bounds and bang-bang analysis of the Polaris variable annuities
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