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

DOI10.1016/J.INSMATHECO.2015.04.003MaRDI QIDQ495504zbMATH OpenOpenAlexFDO

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

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

variable annuitymortality riskinterest rate risksurrender optionguaranteed life withdrawal benefits

Mathematics Subject Classification ID

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

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Cites work

• A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
• A binomial model for valuing equity-linked policies embedding surrender options
• A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
• Affine processes for dynamic mortality and actuarial valuations
• An equilibrium characterization of the term structure
• Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree
• Equity-linked life insurance: A model with stochastic interest rates
• Financial engineering and computation. Principles, mathematics, algorithms
• Financial valuation of guaranteed minimum withdrawal benefits
• Guaranteed minimum withdrawal benefit in variable annuities
• On the construction and complexity of the bivariate lattice with stochastic interest rate models
• Option pricing: A simplified approach
• Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
• Pricing interest-rate-derivative securities
• Pricing of Ratchet equity-indexed annuities under stochastic interest rates
• Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
• The effect of modelling parameters on the value of GMWB guarantees
• The valuation of unit-linked policies with or without surrender options
• Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates

Cited in

(21)

• Real-time valuation of large variable annuity portfolios: a Green mesh approach
• Pricing equity-linked life insurance contracts with multiple risk factors by neural networks
• Equity-linked guaranteed minimum death benefits with dollar cost averaging
• Taxation of a GMWB variable annuity in a stochastic interest rate model
• Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method
• Conditional moment matching and stratified approximation for pricing and hedging periodic-premium variable annuities
• Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
• Analytic valuation of guaranteed lifetime withdrawal benefits with a modified ratchet
• Willow tree algorithms for pricing guaranteed minimum withdrawal benefits under jump-diffusion and CEV models
• Variable annuity pricing, valuation, and risk management: a survey
• Coping with longevity via hedging: fair dynamic valuation of variable annuities
• Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
• Time series model for GLWB with surrender benefit and stochastic interest rate: dynamic withdrawal approach
• Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals
• Pricing maturity guarantee with dynamic withdrawal benefit
• Fast computation of risk measures for variable annuities with additional earnings by conditional moment matching
• A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders
• A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
• Valuing Lifetime Withdrawal Guarantees in RILAs
• Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk
• Valuation of general GMWB annuities in a low interest rate environment

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