Conditional moment matching and stratified approximation for pricing and hedging periodic-premium variable annuities

Cites Work

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An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit
Probability approximation by Clark-Ocone covariance representation
Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate
GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
Pricing Annuity Guarantees Under a Regime-Switching Model
Impact of Flexible Periodic Premiums on Variable Annuity Guarantees
FAST COMPUTATION OF RISK MEASURES FOR VARIABLE ANNUITIES WITH ADDITIONAL EARNINGS BY CONDITIONAL MOMENT MATCHING

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