A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
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- 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.
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- 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.
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More about this item
KeywordsGuaranteed minimum withdrawal benefits; Rollup interest rate guarantees; Deferred variable annuity; Tree model; Surrender options;
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