Risk-neutral valuation of GLWB riders in variable annuities

DOI10.1016/J.INSMATHECO.2023.10.001MaRDI QIDQ6152701zbMATH OpenOpenAlexFDO

Authors Anna Rita Bacinello, Rosario Maggistro, Ivan Zoccolan

Publication date 13 February 2024

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2023.10.001

zbMATH Keywords

stochastic mortalityLévy processesbang-bang conditiondynamic withdrawalsGLWB

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Actuarial mathematics (91G05) Existence of optimal solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49J30)

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Cites work

• scientific article; zbMATH DE number 845007 (Why is no real title available?)
• A Fast Method for the Numerical Evaluation of Continuous Fourier and Laplace Transforms
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• A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
• 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
• Interest rate models -- theory and practice. With smile, inflation and credit
• Numerical methods for Laplace transform inversion
• Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals
• Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
• 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

(2)

• Valuation of guaranteed lifelong withdrawal benefit with the long-term care option
• Valuing Lifetime Withdrawal Guarantees in RILAs

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