Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals
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Publication:4607051
DOI10.1137/16M1089575zbMath1407.91138MaRDI QIDQ4607051
Yue Kuen Kwok, Yao Tung Huang, Pingping Zeng
Publication date: 12 March 2018
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
variable annuitiesFourier transform algorithmbang-bang analysislifelong withdrawal guaranteesoptimal initiation
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Related Items (6)
Refundable income annuities: feasibility of money-back guarantees ⋮ Risk-neutral valuation of GLWB riders in variable annuities ⋮ Valuation of variable annuities under stochastic volatility and stochastic jump intensity ⋮ Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits ⋮ Equity-linked guaranteed minimum death benefits with dollar cost averaging ⋮ Pricing bounds and bang-bang analysis of the Polaris variable annuities
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