Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
From MaRDI portal
(Redirected from Publication:506067)
Recommendations
- Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits
- Indifference pricing of a GLWB option in variable annuities
- Analytical pricing of variable annuities
- Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
- Variable annuity pricing, valuation, and risk management: a survey
Cites work
- scientific article; zbMATH DE number 1377418 (Why is no real title available?)
- A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
- A recursive approach to mortality-linked derivative pricing
- An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit
- Estimating the parameters of complex-valued exponential signals
- Financial valuation of guaranteed minimum withdrawal benefits
- Fitting combinations of exponentials to probability distributions
- Guaranteed minimum withdrawal benefit in variable annuities
- Knowledge Elicitation of Gompertz' Law of Mortality
- On approximation of functions by exponential sums
- Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
- Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
- Some Special Nonlinear Least Squares Problems
- Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits
- Stochastic life annuities
- Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
- The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
- Valuing equity-linked death benefits and other contingent options: a discounted density approach
Cited in
(33)- An overview of exact solution methods for guaranteed minimum death benefit options in variable annuities
- Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach
- Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method
- Coping with longevity via hedging: fair dynamic valuation of variable annuities
- A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
- Analytical pricing of variable annuities
- Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility
- Valuing guaranteed minimum accumulation benefits by a change of numéraire approach
- Variable annuity pricing, valuation, and risk management: a survey
- Analytical calculation of risk measures for variable annuity guaranteed benefits
- Analytic valuation of guaranteed lifetime withdrawal benefits with a modified ratchet
- Accounting and actuarial smoothing of retirement payouts in participating life annuities
- Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits
- Exponential functionals of Lévy processes and variable annuity guaranteed benefits
- Valuing Lifetime Withdrawal Guarantees in RILAs
- Indifference pricing of a GLWB option in variable annuities
- Sample recycling method -- a new approach to efficient nested Monte Carlo simulations
- Semi-static hedging for GMWB in variable annuities
- Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals
- Analysis of fair fee in guaranteed lifelong withdrawal and Markovian health benefits
- Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
- Valuation of cliquet-style guarantees with death benefits
- Analytic valuation of GMDB options with utility based asset allocation
- Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits
- Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
- Geometric Brownian motion with affine drift and its time-integral
- Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach
- Valuing equity-linked death benefits in general exponential Lévy models
- Valuing guaranteed equity-linked contracts by Laguerre series expansion
- Statutory financial reporting for variable annuity guaranteed death benefits: market practice, mathematical modeling and computation
- Valuation of guaranteed lifelong withdrawal benefit with the long-term care option
- Conditional moment matching and stratified approximation for pricing and hedging periodic-premium variable annuities
- Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times
This page was built for publication: Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q506067)
