Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees

DOI10.1080/14697688.2015.1088962zbMath1468.91124OpenAlexW1816178435WikidataQ60148423 ScholiaQ60148423MaRDI QIDQ5001178

Yao Tung Huang, Yue Kuen Kwok

Publication date: 16 July 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2015.1088962

zbMATH Keywords

stochastic volatilityMonte Carlo simulationvariable annuitiesstochastic control modelslifelong withdrawal guaranteesregression-based algorithms

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Optimal stochastic control (93E20) Existence of optimal solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49J30) Actuarial mathematics (91G05)

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