A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model

DOI10.1080/03461238.2015.1119716zbMath1401.91121OpenAlexW2284947900MaRDI QIDQ4575461

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Publication date: 13 July 2018

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

Full work available at URL: https://doi.org/10.1080/03461238.2015.1119716

zbMATH Keywords

regime-switching modelsvariable annuitiesminimum guaranteed withdrawal benefit

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Efficient lattice method for valuing of options with barrier in a regime switching model ⋮ Valuation of general GMWB annuities in a low interest rate environment ⋮ Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models ⋮ RISK-BASED CAPITAL FOR VARIABLE ANNUITY UNDER STOCHASTIC INTEREST RATE ⋮ TAXATION OF A GMWB VARIABLE ANNUITY IN A STOCHASTIC INTEREST RATE MODEL ⋮ Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate ⋮ Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing ⋮ Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models

Cites Work

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