Valuation perspectives and decompositions for variable annuities with GMWB riders

DOI10.1016/j.insmatheco.2014.02.004zbMath1296.91158arXiv1307.2562OpenAlexW2069440683MaRDI QIDQ743168

Menachem Wenger, Cody Blaine Hyndman

Publication date: 22 September 2014

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

Full work available at URL: https://arxiv.org/abs/1307.2562

zbMATH Keywords

optimal stoppingvariable annuityGMWB

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options ⋮ Long guarantees with short duration: the rolling annuity ⋮ Valuing guaranteed minimum accumulation benefits by a change of numéraire approach ⋮ Hedging longevity risk in defined contribution pension schemes ⋮ Policyholder Exercise Behavior in Life Insurance: The State of Affairs ⋮ The time of deducting fees for variable annuities under the state-dependent fee structure

Cites Work

• Unnamed Item
• Unnamed Item
• Mathematical methods for financial markets.
• A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
• Financial valuation of guaranteed minimum withdrawal benefits
• Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
• GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
• A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
• Semi-Static Hedging for GMWB in Variable Annuities
• Stochastic differential equations. An introduction with applications.

This page was built for publication: Valuation perspectives and decompositions for variable annuities with GMWB riders