A Unified Pricing of Variable Annuity Guarantees under the Optimal Stochastic Control Framework
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- Jin Sun & Pavel V. Shevchenko & Man Chung Fung, 2017. "A note on the impact of management fees on the pricing of variable annuity guarantees," Papers 1705.03787, arXiv.org, revised May 2017.
- Marcos Escobar & Mikhail Krayzler & Franz Ramsauer & David Saunders & Rudi Zagst, 2016. "Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs," Risks, MDPI, Open Access Journal, vol. 4(4), pages 1-36, November.
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Keywordsvariable annuity; guaranteed living and death benefits; guaranteed minimum accumulation benefit; optimal stochastic control; direct integration method;
- C - Mathematical and Quantitative Methods
- G0 - Financial Economics - - General
- G1 - Financial Economics - - General Financial Markets
- G2 - Financial Economics - - Financial Institutions and Services
- G3 - Financial Economics - - Corporate Finance and Governance
- M2 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics
- M4 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting
- K2 - Law and Economics - - Regulation and Business Law
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