Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
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Publication:495504
DOI10.1016/J.INSMATHECO.2015.04.003zbMATH Open1348.91138OpenAlexW2089959962MaRDI QIDQ495504FDOQ495504
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
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
- An equilibrium characterization of the term structure
- Pricing interest-rate-derivative securities
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- Financial valuation of guaranteed minimum withdrawal benefits
- Guaranteed minimum withdrawal benefit in variable annuities
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- Option pricing: A simplified approach
- 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
- A binomial model for valuing equity-linked policies embedding surrender options
- Equity-linked life insurance: A model with stochastic interest rates
- A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
- Pricing of Ratchet equity-indexed annuities under stochastic interest rates
- Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
- Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree
- On the construction and complexity of the bivariate lattice with stochastic interest rate models
Cited In (19)
- Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
- Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method
- Willow tree algorithms for pricing guaranteed minimum withdrawal benefits under jump-diffusion and CEV models
- Coping with longevity via hedging: fair dynamic valuation of variable annuities
- Time series model for GLWB with surrender benefit and stochastic interest rate: dynamic withdrawal approach
- A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
- Variable annuity pricing, valuation, and risk management: a survey
- A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders
- Valuation of general GMWB annuities in a low interest rate environment
- Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals
- Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk
- Pricing equity-linked life insurance contracts with multiple risk factors by neural networks
- Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
- Real-time valuation of large variable annuity portfolios: a Green mesh approach
- Taxation of a GMWB variable annuity in a stochastic interest rate model
- Equity-linked guaranteed minimum death benefits with dollar cost averaging
- Pricing maturity guarantee with dynamic withdrawal benefit
- Conditional moment matching and stratified approximation for pricing and hedging periodic-premium variable annuities
- Fast computation of risk measures for variable annuities with additional earnings by conditional moment matching
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