Pricing bounds and bang-bang analysis of the Polaris variable annuities
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Cites work
- A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options
- A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- A Wiener-Hopf Monte Carlo simulation technique for Lévy processes
- An analysis of a least squares regression method for American option pricing
- An optimal stochastic control framework for determining the cost of hedging of variable annuities
- Applications of central limit theorems for equity-linked insurance
- Assessing the least squares Monte-Carlo approach to American option valuation
- Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set
- Convergence of a Least‐Squares Monte Carlo Algorithm for Bounded Approximating Sets
- Convergence rates and asymptotic normality for series estimators
- Financial valuation of guaranteed minimum withdrawal benefits
- Guaranteed minimum withdrawal benefit in variable annuities
- Hedging and Reserving for Single-Premium Segregated Fund Contracts
- Hedging costs for variable annuities under regime-switching
- scientific article; zbMATH DE number 2107836 (Why is no real title available?)
- Inference using shape-restricted regression splines
- Information relaxations and duality in stochastic dynamic programs
- Mathematical models of financial derivatives
- Monte Carlo algorithms for optimal stopping and statistical learning
- Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity
- Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation
- Number of paths versus number of basis functions in American option pricing
- Numerical methods for the pricing of swing options: a stochastic control approach
- 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 Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals
- Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection
- Policyholder exercise behavior in life insurance: the state of affairs
- Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
- Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing
- Regression methods for stochastic control problems and their convergence analysis
- Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees
- Revisiting the risk-neutral approach to optimal policyholder behavior: a study of withdrawal guarantees in variable annuities
- Shape restricted nonparametric regression with Bernstein polynomials
- The effect of modelling parameters on the value of GMWB guarantees
- The existence of optimal bang-bang controls for GMxB contracts
- Valuation of energy storage: an optimal switching approach
- Valuation of the early-exercise price for options using simulations and nonparametric regression
- Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization
- Valuing American options by simulation: a simple least-squares approach
- Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits
- Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model
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