Coping with longevity via hedging: fair dynamic valuation of variable annuities
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Recommendations
- Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
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- Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits
- Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
- Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach
Cites work
- A gravity model of mortality rates for two related populations
- 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
- American Option Pricing Using Simulation and Regression: Numerical Convergence Results
- An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit
- An introduction to computational risk management of equity-linked insurance
- Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
- Basis risk in index-based longevity hedges: a guide for longevity hedgers
- Dynamic hedging of longevity risk: the effect of trading frequency
- Dynamic risk measures
- Fair dynamic valuation of insurance liabilities via convex hedging
- Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach
- Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency
- Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting
- Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency
- Fair valuation of insurance liability cash-flow streams in continuous time: applications
- Financial valuation of guaranteed minimum withdrawal benefits
- Hedging annuity risks with the age-period-cohort two-population gravity model
- Hedging by sequential regressions revisited
- scientific article; zbMATH DE number 5522381 (Why is no real title available?)
- Key q-duration: a framework for hedging longevity risk
- Longevity risk and capital markets: the 2019--20 update
- Market value margin via mean-variance hedging
- On improving the least squares Monte Carlo option valuation method
- On the pricing of longevity-linked securities
- On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
- Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
- Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
- Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
- Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
- The 3-step hedge-based valuation: fair valuation in the presence of systematic risks
- The pricing of liabilities in an incomplete market using dynamic mean-variance hedging
- The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
- TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
- Valuation and hedging of life insurance liabilities with systematic mortality risk
- Valuation of the early-exercise price for options using simulations and nonparametric regression
- Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization
- Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits
- Variable annuity pricing, valuation, and risk management: a survey
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