Time series model for GLWB with surrender benefit and stochastic interest rate: dynamic withdrawal approach

DOI10.1002/ASMB.2751MaRDI QIDQ6581501

Shakti Nath Singh, Selvamuthu Dharmaraja, Viswanathan Arunachalam

Publication date: 30 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

surrender optionvariable annuityGLWB pricingGARCH modelingdynamic withdrawalGLWB rider

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
• On valuing participating life insurance contracts with conditional heteroscedasticity
• Generalized autoregressive conditional heteroscedasticity
• Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
• GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Measuring the Effectiveness of Static Hedging Strategies for a Guaranteed Minimum Income Benefit
• UTILITY MAXIMIZATION IN A PURE JUMP MODEL WITH PARTIAL OBSERVATION

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