The guaranteed minimum withdrawal benefi ts (GMWB) are popular riders in variable annuities with withdrawal guarantees. With withdrawals spread over the life of the annuities contract, the bene fit promises to return the entire initial annuitization amount irrespective of the market performance...

Guaranteed Minimum Withdrawal Benefits (GMWB) are popular riders in variable annuities with withdrawal guarantees. With withdrawals spread over the life of the annuities contract, the benefit promises to return the entire initial annuitization amount irrespective of the market performance of the...

We consider the finite-time horizon dividend-ruin model where the firm pays out dividends to its shareholders according to a dividend-barrier strategy and becomes ruined when the firm's asset value falls below the default threshold. The asset value process is modeled as a restricted Geometric...

We consider the pricing of variable annuities with the Guaranteed Minimum Withdrawal Benefit (GMWB) under the Vasicek stochastic interest rate framework. The holder of the variable annuity contract pays an initial purchase payment to the insurance company, which is then invested in a portfolio...