The effect of modelling parameters on the value of GMWB guarantees

DOI10.1016/J.INSMATHECO.2008.04.003MaRDI QIDQ938050zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

variable annuitiespensionsGMWB guarantees

Mathematics Subject Classification ID

Recommendations

• Financial valuation of guaranteed minimum 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
• Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products
• Risk based capital for guaranteed minimum withdrawal benefit
• 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
• A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
• Calibration and hedging under jump diffusion
• Dynamic hedging under jump diffusion with transaction costs
• Financial valuation of guaranteed minimum withdrawal benefits
• Guaranteed minimum withdrawal benefit in variable annuities
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Robust numerical methods for contingent claims under jump diffusion processes
• Understanding the Behavior and Hedging of Segregated Funds Offering the Reset Feature
• Valuation of segregated funds: shout options with maturity extensions.

Cited in

(47)

• Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality
• Valuation perspectives and decompositions for variable annuities with GMWB riders
• A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model
• On the value of small‐scale GE models
• Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees
• 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
• A semi-Lagrangian \(\epsilon\)-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate
• Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
• Risk based capital for guaranteed minimum withdrawal benefit
• Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach
• Semi-static hedging of variable annuities
• An optimal stochastic control framework for determining the cost of hedging of variable annuities
• Mitigating interest rate risk in variable annuities: an analysis of hedging effectiveness under model risk
• Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits
• Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
• Valuing the guaranteed minimum death benefit clause with partial withdrawals
• Willow tree algorithms for pricing guaranteed minimum withdrawal benefits under jump-diffusion and CEV models
• Policyholder exercise behavior in life insurance: the state of affairs
• Calculating variable annuity liability ``Greeks using Monte Carlo simulation
• Optimal fee structure of variable annuities
• The valuation of a guaranteed minimum maturity benefit under a regime-switching framework
• Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products
• Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
• Hedging costs for variable annuities under regime-switching
• The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
• Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
• Closed-form solutions for guaranteed minimum accumulation and death benefits
• Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
• Financial valuation of guaranteed minimum withdrawal 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
• Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model
• Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility
• A neural network approach to efficient valuation of large portfolios of variable annuities
• State-dependent fees for variable annuity guarantees
• Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits
• The existence of optimal bang-bang controls for GMxB contracts
• Iterative methods for the solution of a singular control formulation of a GMWB pricing problem
• VIX-linked fees for GMWBs via explicit solution simulation methods
• Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models
• Lévy modeled GMWB: Pricing with wavelets
• A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
• Variable annuities: market incompleteness and policyholder behavior
• Pricing bounds and bang-bang analysis of the Polaris variable annuities
• Optimal consumption and allocation in variable annuities with guaranteed minimum death benefits
• Valuation of general GMWB annuities in a low interest rate environment

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

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q938050)