Risk based capital for guaranteed minimum withdrawal benefit
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Publication:4555091
DOI10.1080/14697688.2016.1189087zbMath1402.91192OpenAlexW2415221385MaRDI QIDQ4555091
Publication date: 19 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2016.1189087
finite differencepartial differential equationsAsian optionsguaranteed minimum withdrawal benefitvariable annuityrisk based capital
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Related Items (9)
A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy ⋮ VIX-linked fees for GMWBs via explicit solution simulation methods ⋮ MAXIMUM DRAWDOWN INSURANCE ⋮ RISK-BASED CAPITAL FOR VARIABLE ANNUITY UNDER STOCHASTIC INTEREST RATE ⋮ Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits ⋮ PROBABILITY DISTRIBUTION AND OPTION PRICING FOR DRAWDOWN IN A STOCHASTIC VOLATILITY ENVIRONMENT ⋮ SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS ⋮ The Valuation of a Guaranteed Minimum Maturity Benefit under a Regime-Switching Framework ⋮ Variable annuity pricing, valuation, and risk management: a survey
Cites Work
- An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit
- Statutory financial reporting for variable annuity guaranteed death benefits: market practice, mathematical modeling and computation
- Applications of central limit theorems for equity-linked insurance
- A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
- An optimal stochastic control framework for determining the cost of hedging of variable annuities
- Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products
- Financial valuation of guaranteed minimum withdrawal benefits
- Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
- Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
- Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility
- GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
- Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB)
- Pricing Asian options in a semimartingale model
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