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Risk-neutral valuation of GLWB riders in variable annuities - MaRDI portal

Risk-neutral valuation of GLWB riders in variable annuities (Q6152701)

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scientific article; zbMATH DE number 7804016

Language	Label	Description	Also known as
English	Risk-neutral valuation of GLWB riders in variable annuities	scientific article; zbMATH DE number 7804016

Statements

scholarly article

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Risk-neutral valuation of GLWB riders in variable annuities (English)

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Anna Rita Bacinello

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Rosario Maggistro

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Insurance Mathematics \& Economics

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publication date

13 February 2024

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zbMATH Keywords

GLWB

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dynamic withdrawals

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bang-bang condition

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Lévy processes

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stochastic mortality

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.insmatheco.2023.10.001

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Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method

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The Existence of Optimal Bang-Bang Controls for GMxB Contracts

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The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours

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A Fast Method for the Numerical Evaluation of Continuous Fourier and Laplace Transforms

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Policyholder Exercise Behavior in Life Insurance: The State of Affairs

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A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities

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Interest rate models -- theory and practice. With smile, inflation and credit

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A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)

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Numerical methods for Laplace transform inversion

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GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES

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Valuation of general GMWB annuities in a low interest rate environment

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An optimal stochastic control framework for determining the cost of hedging of variable annuities

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Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees

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Optimal initiation of a GLWB in a variable annuity: no arbitrage approach

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Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals

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Equity-linked guaranteed minimum death benefits with dollar cost averaging

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Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization

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Financial valuation of guaranteed minimum withdrawal benefits

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Stochastic Control in Discrete and Continuous Time

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Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate

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Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits

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Identifiers

10.1016/j.insmatheco.2023.10.001

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:6152701

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