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Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitt...
Gudkov, Nikolay; Ignatieva, Ekaterina; Ziveyi, Jonathan - In: Quantitative finance 19 (2019) 3, pp. 501-518
Persistent link: https://www.econbiz.de/10012194671
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A managed volatility investment strategy for pooled annuity products
Li, Shuanglan; Labit Hardy, Héloïse; Sherris, Michael; … - In: Risks : open access journal 10 (2022) 6, pp. 1-30
Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as … investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products …, while reducing pooled annuity income volatility and downside risk, as well as an investment strategy that reduces exposure …
Persistent link: https://www.econbiz.de/10013363078
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Swimming with wealthy sharks : longevity, volatility andthe value of risk pooling
Milevsky, Moshe Arye - In: Journal of pension economics and finance : JPEF 19 (2020) 2, pp. 217-246
Persistent link: https://www.econbiz.de/10012193716
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Risk management of variable annuities
Ruez, Frederik - 2017
Persistent link: https://www.econbiz.de/10012659889
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Valuing variable annuity guarantees on multiple assets
Fonseca, José da; Ziveyi, Jonathan - In: Scandinavian actuarial journal (2017) 3, pp. 209-230
Persistent link: https://www.econbiz.de/10011772102
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Target volatility strategies for group self-annuity portfolios
Olivieri, Annamaria; Thirurajah, Samuel; Ziveyi, Jonathan - In: ASTIN bulletin : the journal of the International … 52 (2022) 2, pp. 591-617
Persistent link: https://www.econbiz.de/10013270078
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Calculating variable annuity liability "Greeks" using Monte Carlo simulation
Cathcart, Mark J.; Lok, Hsiao Yen; McNeil, Alexander J.; … - In: Astin bulletin : the journal of the International … 45 (2015) 2, pp. 239-266
Persistent link: https://www.econbiz.de/10011312287
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Pricing variable annuity guarantees in a local volatility framework
Deelstra, Griselda; Rayée, Grégory - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 650-663
Persistent link: https://www.econbiz.de/10010227910
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Impact of Stochastic Interest Rates and Stochastic Volatility on Variable Annuities
Benhamou, Eric - 2009
With the success of variable annuities, insurance companies are piling up large risks in terms of both equity and fixed income assets. These risks should be properly modeled as the resulting dynamic hedging strategy is very sensitive to the modeling assumptions. The current literature has been...
Persistent link: https://www.econbiz.de/10013155840
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Impact of volatility clustering on equity indexed annuities
Hainaut, Donatien - In: Insurance / Mathematics & economics 71 (2016), pp. 367-381
Persistent link: https://www.econbiz.de/10011630885