Analytic valuation of guaranteed lifetime withdrawal benefits with a modified ratchet
DOI10.1016/J.INSMATHECO.2024.06.001zbMATH Open1548.91094MaRDI QIDQ6607484FDOQ6607484
Authors: Darcy Harcourt, Toby Daglish, Eric R. Ulm 
Publication date: 18 September 2024
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
geometric Brownian motion with affine driftanalytic solutionvariable annuitiesguaranteed lifetime withdrawal benefits
Actuarial mathematics (91G05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
Cites Work
- Equator. A function calculator
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit
- The Laplace Transform of Hitting Times of Integrated Geometric Brownian Motion
- On approximation of functions by exponential sums
- Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
- Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws
- Fitting combinations of exponentials to probability distributions
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