Valuation of guaranteed lifelong withdrawal benefit with the long-term care option
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Recommendations
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Cites work
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- Actuarial fairness and social welfare in mixed-cohort tontines
- An optimal stochastic control framework for determining the cost of hedging of variable annuities
- Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
- Analyzing the interest rate risk of equity-indexed annuities via scenario matrices
- Are flexible premium variable annuities under-priced?
- Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
- Evaluating the advanced life deferred annuity -- an annuity people might actually buy
- Guaranteed minimum withdrawal benefit in variable annuities
- Hedging guarantees in variable annuities under both equity and interest rate risks
- scientific article; zbMATH DE number 1324223 (Why is no real title available?)
- Impact of flexible periodic premiums on variable annuity guarantees
- Investment guarantees: Modeling and risk management for equity-linked life insurance
- Joint life care annuities to help retired couples to finance the cost of long-term care
- Managing longevity and disability risks in life annuities with long term care
- Modeling disability in long-term care insurance
- Multistate actuarial models of functional disability
- Optimal allocation and consumption with guaranteed minimum death benefits, external income and term life insurance
- Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals
- Optimal retirement income tontines
- Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
- Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models
- Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
- Product pricing and solvency capital requirements for long-term care insurance
- Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees
- Risk-neutral valuation of GLWB riders in variable annuities
- The existence of optimal bang-bang controls for GMxB contracts
- To borrow or insure? Long term care costs and the impact of housing
- Valuation of general GMWB annuities in a low interest rate environment
- Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method
- 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
- Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach
- Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model
- VIX-linked fees for GMWBs via explicit solution simulation methods
Cited in
(4)- Analysis of fair fee in guaranteed lifelong withdrawal and Markovian health benefits
- Coping with longevity via hedging: fair dynamic valuation of variable annuities
- Efficient valuation of joint life variable annuities with guaranteed minimum death benefits
- Innovative combo product design embedding variable annuity and long-term care insurance contracts
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