Risk-neutral valuation of GLWB riders in variable annuities
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Recommendations
- Indifference pricing of a GLWB option in variable annuities
- Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization
- 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
- Valuation of general GMWB annuities in a low interest rate environment
Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A Fast Method for the Numerical Evaluation of Continuous Fourier and Laplace Transforms
- A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- An optimal stochastic control framework for determining the cost of hedging of variable annuities
- Dynamic programming and optimal control. Vol. 1.
- Equity-linked guaranteed minimum death benefits with dollar cost averaging
- Financial valuation of guaranteed minimum withdrawal benefits
- Guaranteed minimum withdrawal benefit in variable annuities
- scientific article; zbMATH DE number 845007 (Why is no real title available?)
- Interest rate models -- theory and practice. With smile, inflation and credit
- Numerical methods for Laplace transform inversion
- Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
- Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals
- 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
- Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees
- Stochastic Control in Discrete and Continuous Time
- Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
- The existence of optimal bang-bang controls for GMxB contracts
- The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
- Valuation of general GMWB annuities in a low interest rate environment
- Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization
- Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate
- Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits
Cited in
(5)- Valuing Lifetime Withdrawal Guarantees in RILAs
- Valuation of guaranteed lifelong withdrawal benefit with the long-term care option
- The interaction between variable annuity providers and their customers under a dynamic approach
- The life care annuity: enhancing product features and refining pricing methods
- Innovative combo product design embedding variable annuity and long-term care insurance contracts
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