Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality

DOI10.1017/ASB.2017.23zbMATH Open1390.91190OpenAlexW2744945495MaRDI QIDQ5745191FDOQ5745191

Authors: Katja Ignatieva, Andrew Song, Jonathan Ziveyi 

Publication date: 5 June 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2017.23

Recommendations

• Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method
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• Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
• The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours

zbMATH Keywords

regime-switchingvariable annuitymortality riskguaranteed minimum withdrawal benefitsFourier space time-stepping

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
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• A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
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Cited In (13)

• A semi-Lagrangian \(\epsilon\)-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate
• Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
• Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model
• Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method
• A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
• Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
• Longevity risk and capital markets: the 2019--20 update
• Variable annuities: market incompleteness and policyholder behavior
• Valuation of general GMWB annuities in a low interest rate environment
• An FFT approach to price guaranteed minimum death benefit in variable annuities under a regime-switching model
• Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
• Equity-linked guaranteed minimum death benefits with dollar cost averaging
• Option pricing under regime-switching models: novel approaches removing path-dependence

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