Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
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DOI: 10.1016/j.insmatheco.2017.12.012
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Cited by:
- Zhenyu Cui & Anne MacKay & Marie-Claude Vachon, 2022. "Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation," Papers 2207.14793, arXiv.org.
- Anna Rita Bacinello & Ivan Zoccolan, 2019. "Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 21-49, June.
- Fontana, Claudio & Rotondi, Francesco, 2023. "Valuation of general GMWB annuities in a low interest rate environment," Insurance: Mathematics and Economics, Elsevier, vol. 112(C), pages 142-167.
- Claudio Fontana & Francesco Rotondi, 2022. "Valuation of general GMWB annuities in a low interest rate environment," Papers 2208.10183, arXiv.org, revised Aug 2023.
- Kirkby, J. Lars & Nguyen, Duy, 2021. "Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 408-428.
- Anne Mackay & Marie-Claude Vachon, 2023. "On an Optimal Stopping Problem with a Discontinuous Reward," Papers 2311.03538, arXiv.org, revised Nov 2023.
- Belssing Taruvinga, 2019. "Solving Selected Problems on American Option Pricing with the Method of Lines," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4-2019, January-A.
- Antonio L. Martire & Emilio Russo & Alessandro Staino, 2023. "Surrender and path-dependent guarantees in variable annuities: integral equation solutions and benchmark methods," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 46(1), pages 177-220, June.
- Wenguang Yu & Yaodi Yong & Guofeng Guan & Yujuan Huang & Wen Su & Chaoran Cui, 2019. "Valuing Guaranteed Minimum Death Benefits by Cosine Series Expansion," Mathematics, MDPI, vol. 7(9), pages 1-15, September.
- Boda Kang & Christina Nikitopoulos Sklibosios & Erik Schlogl & Blessing Taruvinga, 2019. "The Impact of Jumps on American Option Pricing: The S&P 100 Options Case," Research Paper Series 397, Quantitative Finance Research Centre, University of Technology, Sydney.
- Jennifer Alonso Garcia & Michael Sherris & Samuel Thirurajah & Jonathan Ziveyi, 2020. "Taxation and policyholder behavior: the case of guaranteed minimum accumulation benefits," ULB Institutional Repository 2013/307889, ULB -- Universite Libre de Bruxelles.
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Keywords
Variable annuities; Optimal surrender; GMMB; Stochastic volatility; Stochastic interest rates; Method of lines; Dynamic hedging;All these keywords.
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