Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees

60G51: Processes with independent increments; Lévy processes

91G05: Actuarial mathematics

Cites Work

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Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
Optimal surrender policy for variable annuity guarantees
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Pricing dynamic fund protections with regime switching
Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities
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Valuing equity-linked death benefits in jump diffusion models
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Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems
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Equity-linked guaranteed minimum death benefits with dollar cost averaging
Finite-time dividend problems in a Lévy risk model under periodic observation
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AMERICAN OPTIONS WITH REGIME SWITCHING
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COS method for option pricing under a regime-switching model with time-changed Lévy processes
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APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION
An Introduction to Computational Risk Management of Equity-Linked Insurance
The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
STATE-DEPENDENT FEES FOR VARIABLE ANNUITY GUARANTEES
Impact of Flexible Periodic Premiums on Variable Annuity Guarantees
Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes
Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model
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Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models
Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees