Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
type: Item
instance of: scholarly article
title: Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
zbMATH Open document ID: 1400.91249
author: Boda Kang
author: Jonathan Ziveyi
published in: Insurance Mathematics \& Economics
publication date: 2018-04-12T00:00:00Z
full work available at URL: MOL Guarantee Main.pdf
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G30
zbMATH DE Number: 6858901
zbMATH Keywords: variable annuities
zbMATH Keywords: optimal surrender
zbMATH Keywords: GMMB
zbMATH Keywords: stochastic volatility
zbMATH Keywords: stochastic interest rates
zbMATH Keywords: method of lines
zbMATH Keywords: dynamic hedging
MaRDI profile type: Publication
OpenAlex ID: W3124098186
cites work: Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
cites work: Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
cites work: A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
cites work: Semi-static hedging of variable annuities
cites work: Optimal surrender policy for variable annuity guarantees
cites work: The pricing of options and corporate liabilities
cites work: THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
cites work: The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
cites work: Hedging guarantees in variable annuities under both equity and interest rate risks
cites work: A binomial model for valuing equity-linked policies embedding surrender options
cites work: A theory of the term structure of interest rates
cites work: Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility
cites work: Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
cites work: On the Heston Model with Stochastic Interest Rates
cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
cites work: Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection
cites work: Pricing Interest-Rate-Derivative Securities
cites work: Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
cites work: Optimal Stopping and the American Put
cites work: Nonlinear Economic Dynamics and Financial Modelling
cites work: Q4261798
cites work: The Time-Discrete Method of Lines for Options and Bonds
cites work: Q3378055
cites work: Empirical evidence on Student-\(t\) log-returns of diversified world stock indices
cites work: Risk minimization in stochastic volatility models: model risk and empirical performance
cites work: The valuation of unit-linked policies with or without surrender options
cites work: Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
cites work: Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
cites work: An equilibrium characterization of the term structure
DOI: 10.1016/J.INSMATHECO.2017.12.012
description: scientific article; zbMATH DE number 6858901