The effect of modelling parameters on the value of GMWB guarantees
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Publication:938050
DOI10.1016/J.INSMATHECO.2008.04.003zbMATH Open1141.91024OpenAlexW2150174913MaRDI QIDQ938050FDOQ938050
Authors: 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
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- The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
Cites Work
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- Financial valuation of guaranteed minimum withdrawal benefits
- Guaranteed minimum withdrawal benefit in variable annuities
- A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Robust numerical methods for contingent claims under jump diffusion processes
- Calibration and hedging under jump diffusion
- Dynamic hedging under jump diffusion with transaction costs
- Valuation of segregated funds: shout options with maturity extensions.
- Understanding the Behavior and Hedging of Segregated Funds Offering the Reset Feature
Cited In (47)
- A semi-Lagrangian \(\epsilon\)-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate
- An optimal stochastic control framework for determining the cost of hedging of variable annuities
- Valuing the guaranteed minimum death benefit clause with partial withdrawals
- The valuation of a guaranteed minimum maturity benefit under a regime-switching framework
- Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
- Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality
- The existence of optimal bang-bang controls for GMxB contracts
- Willow tree algorithms for pricing guaranteed minimum withdrawal benefits under jump-diffusion and CEV models
- Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products
- A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
- Optimal consumption and allocation in variable annuities with guaranteed minimum death benefits
- Semi-static hedging of variable annuities
- Calculating variable annuity liability ``Greeks using Monte Carlo simulation
- Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
- Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models
- Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
- Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility
- Risk based capital for guaranteed minimum withdrawal benefit
- Closed-form solutions for guaranteed minimum accumulation and death benefits
- A neural network approach to efficient valuation of large portfolios of variable annuities
- Iterative methods for the solution of a singular control formulation of a GMWB pricing problem
- Mitigating interest rate risk in variable annuities: an analysis of hedging effectiveness under model risk
- Minimum return guarantees, investment caps, and investment flexibility
- Variable annuities: market incompleteness and policyholder behavior
- Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits
- Valuation of general GMWB annuities in a low interest rate environment
- Financial valuation of guaranteed minimum withdrawal benefits
- VIX-linked fees for GMWBs via explicit solution simulation methods
- A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model
- Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
- Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model
- Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees
- Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits
- Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
- Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
- The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
- Valuation perspectives and decompositions for variable annuities with GMWB riders
- Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
- Taxation of a GMWB variable annuity in a stochastic interest rate model
- Optimal fee structure of variable annuities
- Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach
- Policyholder exercise behavior in life insurance: the state of affairs
- Hedging costs for variable annuities under regime-switching
- On the value of small‐scale GE models
- Lévy modeled GMWB: Pricing with wavelets
- Pricing bounds and bang-bang analysis of the Polaris variable annuities
- State-dependent fees for variable annuity guarantees
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