Analytic valuation of GMDB options with utility based asset allocation
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Publication:5042792
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Cites work
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws
- Analytic Solution for Return of Premium and Rollup Guaranteed Minimum Death Benefit Options Under Some Simple Mortality Laws
- Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
- Fitting combinations of exponentials to probability distributions
- Investment guarantees: Modeling and risk management for equity-linked life insurance
- Optimal allocation and consumption with guaranteed minimum death benefits, external income and term life insurance
- Optimal consumption and allocation in variable annuities with guaranteed minimum death benefits
- Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection
- Policyholder exercise behavior in life insurance: the state of affairs
- Revisiting the risk-neutral approach to optimal policyholder behavior: a study of withdrawal guarantees in variable annuities
- Valuing equity-linked death benefits and other contingent options: a discounted density approach
- Valuing equity-linked death benefits in a regime-switching framework
- Valuing equity-linked death benefits in jump diffusion models
- Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits
Cited in
(6)- Optimal consumption and allocation in variable annuities with guaranteed minimum death benefits
- Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws
- Analytic Solution for Return of Premium and Rollup Guaranteed Minimum Death Benefit Options Under Some Simple Mortality Laws
- scientific article; zbMATH DE number 2148143 (Why is no real title available?)
- Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk
- An overview of exact solution methods for guaranteed minimum death benefit options in variable annuities
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