Optimal investment-disinvestment choices in health-dependent variable annuity

DOI10.1016/J.INSMATHECO.2024.03.006MaRDI QIDQ6573811zbMATH OpenFDO

Authors Guglielmo D'Amico, Shakti Nath Singh, Selvamuthu Dharmaraja

Publication date 17 July 2024

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

Full work available at URL https://doi.org/10.1016/J.INSMATHECO.2024.03.006

zbMATH Keywords

guaranteed lifetime withdrawal benefithealth statusinvestment-disinvestmentoptimal initiation timevariable annuity

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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Cites work

• Actuarial models for pricing disability benefits: Towards a unifying approach
• Dynamic measurement of poverty: modeling and estimation
• Financial valuation of guaranteed minimum withdrawal benefits
• Impact of flexible periodic premiums on variable annuity guarantees
• Investment guarantees: Modeling and risk management for equity-linked life insurance
• Markov chain modeling of policyholder behavior in life insurance and pension
• Markov Chain Models in Life Insurance
• Markov models and Thiele's integral equations for the prospective reserve
• Modeling disability in long-term care insurance
• Multistate models for long-term care insurance and related indexing problems
• Multistate models in health insurance
• Nonparametric estimation of reliability and survival function for continuous-time finite Markov processes
• Optimal allocation to deferred income annuities
• Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
• Statistical Inference for Discretely Observed Markov Jump Processes
• The crossing barrier of a non-homogeneous semi-Markov chain
• Time series model for GLWB with surrender benefit and stochastic interest rate: dynamic withdrawal approach
• Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach

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