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Financial valuation of guaranteed minimum withdrawal benefits

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  • Milevsky, Moshe A.
  • Salisbury, Thomas S.

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  • Milevsky, Moshe A. & Salisbury, Thomas S., 2006. "Financial valuation of guaranteed minimum withdrawal benefits," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 21-38, February.
    • Handle: RePEc:eee:insuma:v:38:y:2006:i:1:p:21-38
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    References listed on IDEAS

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    1. Huang, H. & Milevsky, M. A. & Wang, J., 2004. "Ruined moments in your life: how good are the approximations?," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 421-447, June.
    2. Carr, Peter, 1998. "Randomization and the American Put," The Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 597-626.
    3. Nielsen, J. Aase & Sandmann, Klaus, 2003. "Pricing Bounds on Asian Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(2), pages 449-473, June.
    4. Richard H. Thaler & Shlomo Benartzi, 2001. "Naive Diversification Strategies in Defined Contribution Saving Plans," American Economic Review, American Economic Association, vol. 91(1), pages 79-98, March.
    5. Bakshi, Gurdip & Madan, Dilip, 2002. "Average Rate Claims with Emphasis on Catastrophe Loss Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(1), pages 93-115, March.
    6. Turnbull, Stuart M. & Wakeman, Lee Macdonald, 1991. "A Quick Algorithm for Pricing European Average Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(3), pages 377-389, September.
    7. Knut Aase & Svein-Arne Persson, 1996. "Valuation of the Minimum Guaranteed Return Embedded in Life Insurance Products," Center for Financial Institutions Working Papers 96-20, Wharton School Center for Financial Institutions, University of Pennsylvania.
    8. Ju, Nengjiu, 1998. "Pricing an American Option by Approximating Its Early Exercise Boundary as a Multipiece Exponential Function," The Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 627-646.
    9. Cox, Samuel H. & Fairchild, Joseph R. & Pedersen, Hal W., 2004. "Valuation of structured risk management products," Insurance: Mathematics and Economics, Elsevier, vol. 34(2), pages 259-272, April.
    10. M. A. H. Dempster & J. P. Hutton, 1999. "Pricing American Stock Options by Linear Programming," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 229-254, July.
    11. Moshe Arye Milevsky & Steven E. Posner, 1999. "Asian Options, The Sum Of Lognormals, And The Reciprocal Gamma Distribution," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar, chapter 7, pages 203-218, World Scientific Publishing Co. Pte. Ltd..
    12. Jeffrey R. Brown & James M. Poterba, 2004. "Household Demand for Variable Annuities," Working Papers, Center for Retirement Research at Boston College wp2004-8, Center for Retirement Research, revised Mar 2004.
    13. Brennan, Michael J. & Schwartz, Eduardo S., 1976. "The pricing of equity-linked life insurance policies with an asset value guarantee," Journal of Financial Economics, Elsevier, vol. 3(3), pages 195-213, June.
    14. Windcliff, H. & Forsyth, P. A. & Vetzal, K. R., 2001. "Valuation of segregated funds: shout options with maturity extensions," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 1-21, August.
    15. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
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