Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products

DOI10.1016/J.JEDC.2014.05.008zbMath1402.91952OpenAlexW3124027991WikidataQ60148429 ScholiaQ60148429MaRDI QIDQ1994588

Yue Kuen Kwok, Yao Tung Huang

Publication date: 1 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2014.05.008

zbMATH Keywords

guaranteed minimum withdrawal benefitsoptimal withdrawal policiespenalty chargesingular stochastic control model

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Financial applications of other theories (91G80)

Related Items (10)

Risk based capital for guaranteed minimum withdrawal benefit ⋮ Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate ⋮ Policyholder Exercise Behavior in Life Insurance: The State of Affairs ⋮ Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models ⋮ Equity-linked guaranteed minimum death benefits with dollar cost averaging ⋮ Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method ⋮ Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models ⋮ Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees ⋮ The Existence of Optimal Bang-Bang Controls for GMxB Contracts ⋮ Variable annuity pricing, valuation, and risk management: a survey

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