Surrender and path-dependent guarantees in variable annuities: integral equation solutions and benchmark methods

DOI10.1007/S10203-022-00383-WMaRDI QIDQ6156163zbMATH OpenOpenAlexFDO

Authors Antonio Luciano Martire, Emilio Russo, Alessandro Staino

Publication date 12 June 2023

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10203-022-00383-w

zbMATH Keywords

guaranteed minimum maturity/accumulation benefitlattice modelMonte Carlo simulationrandomized trapezoidal quadraturevariable annuityVolterra integral equation

Mathematics Subject Classification ID

Volterra integral equations (45D05) Monte Carlo methods (65C05) Actuarial mathematics (91G05)

Recommendations

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Cites work

• A randomized trapezoidal quadrature
• American fractional lookback options: valuation and premium decomposition
• American Options with Lookback Payoff
• Financial valuation of guaranteed minimum withdrawal benefits
• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• Optimal Stopping and the American Put
• Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
• Optimal surrender policy for variable annuity guarantees
• Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities
• Pricing variable annuity with surrender guarantee
• Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
• Valuing American options by simulation: a simple least-squares approach

Cited in

(4)

• Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities
• Variable annuity with a surrender option under multiscale stochastic volatility
• Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis
• Variational inequality arising from variable annuity with mean reversion environment

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