The effect of modelling parameters on the value of GMWB guarantees

DOI10.1016/j.insmatheco.2008.04.003zbMath1141.91024OpenAlexW2150174913MaRDI QIDQ938050

B. E. Eshmatov

Publication date: 18 August 2008

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.04.003

zbMATH Keywords

pensionsvariable annuitiesGMWB guarantees

Mathematics Subject Classification ID

Related Items (40)

Semi-static hedging of variable annuities ⋮ Closed-form solutions for guaranteed minimum accumulation and death benefits ⋮ Minimum return guarantees, investment caps, and investment flexibility ⋮ Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method ⋮ Hedging Costs for Variable Annuities Under Regime-Switching ⋮ CALCULATING VARIABLE ANNUITY LIABILITY “GREEKS” USING MONTE CARLO SIMULATION ⋮ VIX-linked fees for GMWBs via explicit solution simulation methods ⋮ Lévy modeled GMWB: Pricing with wavelets ⋮ A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model ⋮ The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours ⋮ Optimal fee structure of variable annuities ⋮ Valuation of general GMWB annuities in a low interest rate environment ⋮ Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach ⋮ A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions ⋮ Iterative methods for the solution of a singular control formulation of a GMWB pricing problem ⋮ Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model ⋮ Policyholder Exercise Behavior in Life Insurance: The State of Affairs ⋮ Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk ⋮ Optimal consumption and allocation in variable annuities with guaranteed minimum death benefits ⋮ Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models ⋮ Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits ⋮ Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits ⋮ Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks ⋮ An optimal stochastic control framework for determining the cost of hedging of variable annuities ⋮ Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products ⋮ FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY ⋮ Optimal initiation of a GLWB in a variable annuity: no arbitrage approach ⋮ Variable annuities: market incompleteness and policyholder behavior ⋮ Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models ⋮ A neural network approach to efficient valuation of large portfolios of variable annuities ⋮ Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality ⋮ STATE-DEPENDENT FEES FOR VARIABLE ANNUITY GUARANTEES ⋮ Pricing bounds and bang-bang analysis of the Polaris variable annuities ⋮ The Valuation of a Guaranteed Minimum Maturity Benefit under a Regime-Switching Framework ⋮ Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method ⋮ Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models ⋮ Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees ⋮ The Existence of Optimal Bang-Bang Controls for GMxB Contracts ⋮ Pricing guaranteed minimum withdrawal benefits under stochastic interest rates ⋮ Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility

Cites Work

• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Calibration and hedging under jump diffusion
• A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
• Valuation of segregated funds: shout options with maturity extensions.
• Financial valuation of guaranteed minimum withdrawal benefits
• GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
• Dynamic Hedging Under Jump Diffusion with Transaction Costs
• A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
• Robust numerical methods for contingent claims under jump diffusion processes
• Understanding the Behavior and Hedging of Segregated Funds Offering the Reset Feature

This page was built for publication: The effect of modelling parameters on the value of GMWB guarantees