State-dependent fees for variable annuity guarantees
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Recommendations
- Pricing and hedging of variable annuities with state-dependent fees
- Optimal fee structure of variable annuities
- Optimal surrender policy for variable annuity guarantees
- Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
- Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis
Cites work
- A Regime-Switching Model of Long-Term Stock Returns
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- Actuarial Mathematics for Life Contingent Risks
- An alternative approach to the valuation of American options and applications
- Guaranteed Annuity Options
- Guaranteed minimum withdrawal benefit in variable annuities
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- Investment guarantees: Modeling and risk management for equity-linked life insurance
- Optimal surrender policy for variable annuity guarantees
- Revisiting the risk-neutral approach to optimal policyholder behavior: a study of withdrawal guarantees in variable annuities
- The effect of modelling parameters on the value of GMWB guarantees
- Trivariate density of Brownian motion, its local and occupation times, with application to stochastic control
- Valuing the guaranteed minimum death benefit clause with partial withdrawals
Cited in
(31)- VIX-linked fees for GMWBs via explicit solution simulation methods
- Expected utility of the drawdown-based regime-switching risk model with state-dependent termination
- Pricing variable annuity with surrender guarantee
- Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model
- Valuation of annuity guarantees under a self-exciting switching jump model
- Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis
- Valuing equity-linked death benefits with a threshold expense strategy
- The time of deducting fees for variable annuities under the state-dependent fee structure
- Pricing and hedging of variable annuities with state-dependent fees
- Optimal fee structure of variable annuities
- First passage problems of refracted jump diffusion processes and their applications in valuing equity-linked death benefits
- Indifference fee rate for variable annuities
- The distribution of refracted Lévy processes with jumps having rational Laplace transforms
- Efficient dynamic hedging for large variable annuity portfolios with multiple underlying assets
- The effect of the assumed interest rate and smoothing on variable annuities
- Impact of flexible periodic premiums on variable annuity guarantees
- Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model
- Policyholder exercise behavior in life insurance: the state of affairs
- Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality
- Variable annuity pricing, valuation, and risk management: a survey
- Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
- Valuation of general GMWB annuities in a low interest rate environment
- Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees
- Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
- Valuing equity-linked annuities under high-water mark fee structure
- Optimal surrender policy for reverse mortgage loans
- Numerical methods for computing risk measures of variable annuities under exponential Lévy models
- Optimal investment-withdrawal strategy for variable annuities under a performance fee structure
- Guaranteed minimum income benefit valuation via a numéraire transformation approach
- A two-account pricing framework for hybrid variable annuity contract embedded with living and death benefit riders
- On occupation times in the red of Lévy risk models
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