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State-Dependent Fees for Variable Annuity Guarantees


  • Bernard, Carole
  • Hardy, Mary
  • Mackay, Anne


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  • Bernard, Carole & Hardy, Mary & Mackay, Anne, 2014. "State-Dependent Fees for Variable Annuity Guarantees," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 44(03), pages 559-585, September.
  • Handle: RePEc:cup:astinb:v:44:y:2014:i:03:p:559-585_00

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    Cited by:

    1. repec:bla:jrinsu:v:84:y:2017:i:2:p:661-690 is not listed on IDEAS
    2. Zhou, Jiang & Wu, Lan, 2015. "Valuing equity-linked death benefits with a threshold expense strategy," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 79-90.
    3. repec:eee:insuma:v:81:y:2018:i:c:p:1-17 is not listed on IDEAS
    4. Delong, Ɓukasz, 2014. "Pricing and hedging of variable annuities with state-dependent fees," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 24-33.
    5. Zhou, Jiang & Wu, Lan, 2015. "The time of deducting fees for variable annuities under the state-dependent fee structure," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 125-134.
    6. repec:eee:insuma:v:79:y:2018:i:c:p:137-147 is not listed on IDEAS
    7. Michael A. Kouritzin & Anne MacKay, 2017. "VIX-linked fees for GMWBs via Explicit Solution Simulation Methods," Papers 1708.06886,, revised Apr 2018.

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