Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
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Publication:6169661
DOI10.1080/03461238.2022.2141656zbMath1520.91334MaRDI QIDQ6169661
Justin Lars Kirkby, Jean-Philippe Aguilar
Publication date: 12 July 2023
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
mortalityvaluationpricingguaranteed minimum death benefitvariable annuityLévysurrenderGMDBequity-linkedlapseGMxBGMAB
Processes with independent increments; Lévy processes (60G51) Dynamic programming in optimal control and differential games (49L20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Actuarial mathematics (91G05)
Related Items (3)
Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method ⋮ Robust time-consistent strategy for the defined contribution pension plan with a minimum guarantee under ambiguity ⋮ Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees
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