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Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models

Ai, Meiqiao; Zhang, Zhimin; Zhu, Dan - In: Scandinavian actuarial journal 2023 (2023) 4, pp. 330-358

Persistent link: https://www.econbiz.de/10014336388

Analytic valuation of GMDB options with utility based asset allocation

Ulm, Eric R. - In: Scandinavian actuarial journal 2022 (2022) 9, pp. 816-840

Persistent link: https://www.econbiz.de/10013419050

Less-expensive long-term annuities linked to mortality, cash and equity

Fergusson, Kevin; Platen, Eckhard - In: Annals of actuarial science : publ. by the Institute of … 17 (2023) 1, pp. 170-207

Persistent link: https://www.econbiz.de/10014306947

Impact of Stochastic Interest Rates and Stochastic Volatility on Variable Annuities

Benhamou, Eric; Gauthier, Pierre - 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/10014209535