Guaranteed minimum surrender benefits in variable annuities: the impact of regulator-imposed guarantees

DOI10.1007/S13385-017-0156-0zbMath1405.91259OpenAlexW2656443348MaRDI QIDQ1689021

Frederik Ruez, Alexander Kling, Jochen Ruß

Publication date: 12 January 2018

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-017-0156-0

zbMATH Keywords

pricingvariable annuitiessecondary marketcapital requirementsguaranteed minimum accumulation benefitguaranteed minimum surrender benefit

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (2)

Variable annuity pricing, valuation, and risk management: a survey ⋮ The Economics of a Secondary Market for Variable Annuities

Cites Work

• The Pricing of Options and Corporate Liabilities
• A Theory of the Term Structure of Interest Rates
• A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
• Hedging Costs for Variable Annuities Under Regime-Switching
• Valuing American Options by Simulation: A Simple Least-Squares Approach

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