Pages that link to "Item:Q3117251"
From MaRDI portal
The following pages link to Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB) (Q3117251):
Displaying 21 items.
- Iterative methods for the solution of a singular control formulation of a GMWB pricing problem (Q453330) (← links)
- Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks (Q495504) (← links)
- A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB) (Q937233) (← links)
- Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products (Q1994588) (← links)
- A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables (Q1997321) (← links)
- Hamilton-Jacobi-Bellman quasi-variational inequality arising in an environmental problem and its numerical discretization (Q2203922) (← links)
- Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate (Q2404547) (← links)
- Optimal initiation of a GLWB in a variable annuity: no arbitrage approach (Q2513460) (← links)
- A neural network approach to efficient valuation of large portfolios of variable annuities (Q2520445) (← links)
- Numerical methods for dynamic Bertrand oligopoly and American options under regime switching (Q4554242) (← links)
- Risk based capital for guaranteed minimum withdrawal benefit (Q4555091) (← links)
- The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours (Q4576977) (← links)
- Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization? (Q4971982) (← links)
- Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees (Q5001178) (← links)
- RISK-BASED CAPITAL FOR VARIABLE ANNUITY UNDER STOCHASTIC INTEREST RATE (Q5140086) (← links)
- Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models (Q5235461) (← links)
- The Existence of Optimal Bang-Bang Controls for GMxB Contracts (Q5250040) (← links)
- Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach (Q5407987) (← links)
- FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY (Q5745191) (← links)
- Penalty method for portfolio selection with capital gains tax (Q6054372) (← links)
- A semi-Lagrangian \(\epsilon\)-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate (Q6556883) (← links)
