The aim of this paper is to construct a dynamic programming algorithm for pricing variable annuities with GLWB under a stochastic mortality framework. Although our set-up is very general and only requires the Markovian property for the mortality intensity and the asset price processes, in the...

Inspired by the classical riot model proposed by Granovetter in 1978, we consider a parametric stochastic dynamical system describing the collective behavior of a large population of interacting agents. By controlling a parameter, a policy maker aims at maximizing her own utility which, in turn,...