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

DOI10.1016/j.insmatheco.2014.04.002zbMath1304.91113arXiv1304.1821OpenAlexW3122818774MaRDI QIDQ2513460

Thomas S. Salisbury, Hua-xiong Huang, Moshe Arye Milevsky

Publication date: 28 January 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1304.1821

Mathematics Subject Classification ID

Related Items (13)

Statutory financial reporting for variable annuity guaranteed death benefits: market practice, mathematical modeling and computation ⋮ Risk based capital for guaranteed minimum withdrawal benefit ⋮ Moment matching machine learning methods for risk management of large variable annuity portfolios ⋮ Risk-neutral valuation of GLWB riders in variable annuities ⋮ Valuing Lifetime Withdrawal Guarantees in RILAs ⋮ Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals ⋮ Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach ⋮ Indifference Pricing of a GLWB Option in Variable Annuities ⋮ Policyholder Exercise Behavior in Life Insurance: The State of Affairs ⋮ Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits ⋮ Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits ⋮ Variable annuities: market incompleteness and policyholder behavior ⋮ Variable annuity pricing, valuation, and risk management: a survey

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