Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options

DOI10.1016/J.INSMATHECO.2016.04.006zbMath1369.91195OpenAlexW3125420583MaRDI QIDQ343983

Yang Shen, Jonathan Ziveyi, Michael Sherris

Publication date: 21 November 2016

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.04.006

zbMATH Keywords

numerical integrationguaranteed minimum maturity benefithedge ratiossurrender optionvariable annuity

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

Related Items (19)

Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities ⋮ Portfolio optimization with a guaranteed minimum maturity benefit and risk-adjusted fees ⋮ Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method ⋮ Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation ⋮ Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method ⋮ Hedging longevity risk in defined contribution pension schemes ⋮ Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models ⋮ Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk ⋮ Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees ⋮ Variational inequality arising from variable annuity with mean reversion environment ⋮ Surrender and path-dependent guarantees in variable annuities: integral equation solutions and benchmark methods ⋮ Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees ⋮ OPTIMAL SURRENDER TIME FOR A VARIABLE ANNUITY WITH A FIXED INSURANCE FEE ⋮ Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates ⋮ Pricing variable annuity with surrender guarantee ⋮ Efficient valuation of a variable annuity contract with a surrender option ⋮ Real-Time Valuation of Large Variable Annuity Portfolios: A Green Mesh Approach ⋮ Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk ⋮ Variable annuity with a surrender option under multiscale stochastic volatility

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Optimal surrender policy for variable annuity guarantees
• Valuation perspectives and decompositions for variable annuities with GMWB riders
• Fair valuation of participating policies with surrender options and regime switching
• A binomial model for valuing equity-linked policies embedding surrender options
• The pricing of the American option
• The valuation of unit-linked policies with or without surrender options
• Financial valuation of guaranteed minimum withdrawal benefits
• Pricing American options written on two underlying assets
• A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
• Optimal Stopping and the American Put
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
• Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option

This page was built for publication: Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options