Analytic valuation of guaranteed lifetime withdrawal benefits with a modified ratchet
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Publication:6607484
DOI10.1016/J.INSMATHECO.2024.06.001zbMATH Open1548.91094MaRDI QIDQ6607484
Toby Daglish, Eric R. Ulm, Darcy Harcourt
Publication date: 18 September 2024
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
analytic solutiongeometric Brownian motion with affine driftvariable annuitiesguaranteed lifetime withdrawal benefits
Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Actuarial mathematics (91G05)
Cites Work
- Title not available (Why is that?)
- An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit
- Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
- On approximation of functions by exponential sums
- Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- The Laplace Transform of Hitting Times of Integrated Geometric Brownian Motion
- Fitting combinations of exponentials to probability distributions
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