We present a numerical approach to the pricing of guaranteed minimum maturity benefits embedded in variable annuity contracts in the case where the guarantees can be surrendered at any time prior to maturity that improves on current approaches. Surrender charges are important in practice and are...

This paper considers the lifetime asset allocation problem with both idiosyncratic and systematic longevity risks, in which the stochastic mortality model is given by a general diffusion process. A wage earner can invest in a zero-coupon bond, a stock and a longevity bond, consume part of his...

Continuous-time affine mortality models are useful in the analysis of age-cohort mortality rates as they yield a closed-form expression for survival curves which are consistent with the dynamics of latent factors driving mortality and are well-suited for finance and insurance applications. We...