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Fast numerical method for pricing of variable annuities with Guaranteed minimum withdrawal benefit under optimal withdrawal strategy
Luo, Xiaolin; Shevchenko, Pavel V. - In: International journal of financial engineering 2 (2015) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10011403137
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Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit under stochastic interest rate
Shevchenko, Pavel V.; Luo, Xiaolin - In: Insurance / Mathematics & economics 76 (2017), pp. 104-117
Persistent link: https://www.econbiz.de/10011774788
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Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
Dai, Tian-Shyr; Yang, Sharon S.; Liu, Liang-Chih - In: Insurance / Mathematics & economics 64 (2015), pp. 364-379
Persistent link: https://www.econbiz.de/10011398106
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Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
Shen, Yang; Sherris, Michael; Ziveyi, Jonathan - In: Insurance / Mathematics & economics 69 (2016), pp. 127-137
Persistent link: https://www.econbiz.de/10011530941
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Variable annuities with a threshold fee : valuation, numerical implementation and comparative static analysis
Bacinello, Anna Rita; Zoccolan, Ivan - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 1, pp. 21-49
Persistent link: https://www.econbiz.de/10012065156
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Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization
Luo, Xiaolin; Shevchenko, Pavel V. - In: Insurance / Mathematics & economics 62 (2015), pp. 5-15
Persistent link: https://www.econbiz.de/10011312092
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Valuation of general GMWB annuities in a low interest rate environment
Fontana, Claudio; Rotondi, Francesco - In: Insurance / Mathematics & economics 112 (2023), pp. 142-167
Persistent link: https://www.econbiz.de/10014446751
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The GMWB guarantee embedded in life insurance contracts : fair value pricing problem
Mrad, Fatma; Hamdi, Haykel; Naoui, Kamel; Abid, Ilyes - In: Finance research letters 51 (2023), pp. 1-10
Persistent link: https://www.econbiz.de/10014304840
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Pricing annuity guarantees under a double regime-switching model
Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming - In: Insurance / Mathematics & economics 62 (2015), pp. 62-78
Persistent link: https://www.econbiz.de/10011312087
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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