Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks

DOI10.1016/j.insmatheco.2015.04.003zbMath1348.91138OpenAlexW2089959962MaRDI QIDQ495504

Sharon S. Yang, Liang-Chih Liu, Tian-Shyr Dai

Publication date: 14 September 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.04.003

zbMATH Keywords

interest rate riskmortality risksurrender optionvariable annuityguaranteed life withdrawal benefits

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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