A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Boyle, Phelim & Hardy, Mary, 2003. "Guaranteed Annuity Options," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 33(02), pages 125-152, November.
- Ledlie, M. C. & Corry, D. P. & Finkelstein, G. S. & Ritchie, A. J. & Su, K. & Wilson, D. C. E., 2008. "Variable Annuities," British Actuarial Journal, Cambridge University Press, vol. 14(02), pages 327-389, July.
- Tian-Shyr Dai, 2009. "Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree," Quantitative Finance, Taylor & Francis Journals, vol. 9(7), pages 827-838.
- 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.
- 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.
- Costabile, Massimo & Massabó, Ivar & Russo, Emilio, 2008. "A binomial model for valuing equity-linked policies embedding surrender options," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 873-886, June.
- Figlewski, Stephen & Gao, Bin, 1999.
"The adaptive mesh model: a new approach to efficient option pricing,"
Journal of Financial Economics,
Elsevier, vol. 53(3), pages 313-351, September.
- Stephen Figlewski & Bin Gao, 1998. "The Adaptive Mesh Model: A New Approach to Efficient Option Pricing," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-032, New York University, Leonard N. Stern School of Business-.
- Brennan, Michael J & Schwartz, Eduardo S, 1979. "Alternative Investment Strategies for the Issuers of Equity Linked Life Insurance Policies with an Asset Value Guarantee," The Journal of Business, University of Chicago Press, vol. 52(1), pages 63-93, January.
- Michel Denuit & Pierre Devolder & Anne-Cécile Goderniaux, 2007. "Securitization of Longevity Risk: Pricing Survivor Bonds With Wang Transform in the Lee-Carter Framework," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 74(1), pages 87-113.
- Christopher M Condron, 2008. "Variable Annuities and the New Retirement Realities*," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 33(1), pages 12-32, January.
- Chen, Z. & Vetzal, K. & Forsyth, P.A., 2008. "The effect of modelling parameters on the value of GMWB guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 165-173, August.
- Kijima, Masaaki, 2006. "A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 36(01), pages 269-283, May.
- Shen, Weixi & Xu, Huiping, 2005. "The valuation of unit-linked policies with or without surrender options," Insurance: Mathematics and Economics, Elsevier, vol. 36(1), pages 79-92, February.
- Ballotta, Laura & Haberman, Steven, 2006. "The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 195-214, February.
- Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
- Yijia Lin & Samuel H. Cox, 2005. "Securitization of Mortality Risks in Life Annuities," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 72(2), pages 227-252.
- Min Dai & Yue Kuen Kwok & Jianping Zong, 2008. "Guaranteed Minimum Withdrawal Benefit In Variable Annuities," Mathematical Finance, Wiley Blackwell, vol. 18(4), pages 595-611.
- Ballotta, Laura & Haberman, Steven, 2003. "Valuation of guaranteed annuity conversion options," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 87-108, August.
- Bauer, Daniel & Kling, Alexander & Russ, Jochen, 2008. "A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 38(02), pages 621-651, November.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Huang, H. & Milevsky, M.A. & Salisbury, T.S., 2014. "Optimal initiation of a GLWB in a variable annuity: No Arbitrage approach," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 102-111.
- Dai, Tian-Shyr & Yang, Sharon S. & Liu, Liang-Chih, 2015. "Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 364-379.
- repec:eee:dyncon:v:87:y:2018:i:c:p:1-20 is not listed on IDEAS
- Gan, Guojun & Lin, X. Sheldon, 2015. "Valuation of large variable annuity portfolios under nested simulation: A functional data approach," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 138-150.
- Gan, Guojun, 2013. "Application of data clustering and machine learning in variable annuity valuation," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 795-801.
- Steinorth, Petra & Mitchell, Olivia S., 2015. "Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 246-258.
- Ludovic Gouden`ege & Andrea Molent & Antonino Zanette, 2016. "Pricing and Hedging GMWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models," Papers 1602.09078, arXiv.org, revised Mar 2016.
- Forsyth, Peter & Vetzal, Kenneth, 2014. "An optimal stochastic control framework for determining the cost of hedging of variable annuities," Journal of Economic Dynamics and Control, Elsevier, vol. 44(C), pages 29-53.
More about this item
KeywordsGuaranteed minimum withdrawal benefits; Rollup interest rate guarantees; Deferred variable annuity; Tree model; Surrender options;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:52:y:2013:i:2:p:231-242. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.