Optimal surrender policy for variable annuity guarantees

DOI10.1016/j.insmatheco.2014.01.006zbMath1296.91144OpenAlexW3123200553MaRDI QIDQ743150

Carole Bernard, Max Muehlbeyer, Anne MacKay

Publication date: 22 September 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.01.006

zbMATH Keywords

variable annuitiesGMMBGMSBoptimal surrender

Mathematics Subject Classification ID

Related Items (27)

Statutory financial reporting for variable annuity guaranteed death benefits: market practice, mathematical modeling and computation ⋮ Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities ⋮ Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method ⋮ Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options ⋮ Valuing guaranteed minimum accumulation benefits by a change of numéraire approach ⋮ Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation ⋮ Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models ⋮ Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk ⋮ Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees ⋮ Variational inequality arising from variable annuity with mean reversion environment ⋮ Surrender and path-dependent guarantees in variable annuities: integral equation solutions and benchmark methods ⋮ Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees ⋮ Policyholder Exercise Behavior in Life Insurance: The State of Affairs ⋮ OPTIMAL SURRENDER TIME FOR A VARIABLE ANNUITY WITH A FIXED INSURANCE FEE ⋮ Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits ⋮ Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates ⋮ CTMC integral equation method for American options under stochastic local volatility models ⋮ Pricing variable annuity with surrender guarantee ⋮ Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior ⋮ Optimal initiation of a GLWB in a variable annuity: no arbitrage approach ⋮ Pricing and hedging of variable annuities with state-dependent fees ⋮ Valuation of guaranteed unitized participating life insurance under MEGB2 distribution ⋮ STATE-DEPENDENT FEES FOR VARIABLE ANNUITY GUARANTEES ⋮ Efficient valuation of a variable annuity contract with a surrender option ⋮ Application of power series approximation techniques to valuation of European style options ⋮ Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk ⋮ Variable annuity with a surrender option under multiscale stochastic volatility

Cites Work

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• Lapse rate modeling: a rational expectation approach
• Analytical Valuation of American-Style Asian Options
• A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
• Optimal Exercise Policies and Simulation-Based Valuation for American-Asian Options
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option

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