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The Titanic Option: Valuation of the Guaranteed Minimum Death Benefit in Variable Annuities and Mutual Funds
7 references·16 citing·40 second hop
The Titanic Option: Valuation of the Guaranteed Minimum Death Benefit in Variable Annuities and Mutual Funds (2001)The Titanic Option: Valuation of the Guar…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts (1998)Risk-Minimizing Hedging Strat…Randomization and the American Put (1998)Randomization and the America…Hedging of non-redundant contingent claims (1985)Hedging of non-redundant cont…Path Dependent Options: "Buy at the Low, Sell at the High" (1979)Path Dependent Options: "Buy …Equilibrium Prices of Guarantees under Equity-Linked Contracts (1977)Equilibrium Prices of Guarant…The pricing of equity-linked life insurance policies with an asset value guarantee (1976)The pricing of equity-linked …Valuing equity-linked death benefits in general exponential Lévy models (2019)Valuing equity-linked death b…Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits (2015)Valuing variable annuities wi…Valuation of large variable annuity portfolios under nested simulation: A functional data approach (2015)Valuation of large variable a…Bringing cost transparency to the life annuity market (2014)Bringing cost transparency to…Application of Data Clustering and Machine Learning in Variable Annuity Valuation (2013)Application of Data Clusterin…Valuing equity-linked death benefits and other contingent options: A discounted density approach (2012)Valuing equity-linked death b…Variable annuities: A unifying valuation approach (2011)Variable annuities: A unifyin…The Valuation of Guaranteed Lifelong Withdrawal Benefit Options in Variable Annuity Contracts and the Impact of Mortality Risk (2011)The Valuation of Guaranteed L…Analysis and Valuation of Insurance Companies (2011)Analysis and Valuation of Ins…Valuation of a Guaranteed Minimum Income Benefit (2010)Valuation of a Guaranteed Min…Regression-based algorithms for life insurance contracts with surrender guarantees (2009)Regression-based algorithms f…Pricing Annuity Guarantees Under a Regime-Switching Model (2009)Pricing Annuity Guarantees Un…Robustly Hedging Variable Annuities With Guarantees Under Jump and Volatility Risks (2007)Robustly Hedging Variable Ann…Hedging guarantees in variable annuities under both equity and interest rate risks (2006)Hedging guarantees in variabl…Optimal asset allocation in life annuities: a note (2002)Optimal asset allocation in l…Valuation of segregated funds: shout options with maturity extensions (2001)Valuation of segregated funds…The Random Character of Stock Market Prices (1968)The Pricing of Options and Corporate Liabilities (1973)Life Insurance Liabilities at Market Value: An Analysis of Insolvency Risk, Bonus Policy, and Regulatory Intervention Rules in a Barrier Option Framework (2002)Fair Valuation of a Guaranteed Life Insurance Participating Contract Embedding a Surrender Option (2003)Financial valuation of guaranteed minimum withdrawal benefits (2005)Theory of rational option pricing (2005)Department of Labor (1941)Uncertain Lifetime, Life Insurance, and the Theory of the Consumer (1965)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Product options for enhanced retirement income (2017)TONUITY: A NOVEL INDIVIDUAL-ORIENTED RETIREMENT PLAN (2018)Actuarial fairness and social welfare in mixed-cohort tontines (2023)Theory of Rational Option Pricing (1973)Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis (1978)Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies (2000)The big, bad wolf and the rational market: portfolio insurance, the 1987 crash and the performativity of economics (2004)Stochastic Differential Equations and Diffusion Processes (1983)Dynamic Asset Pricing Theory. (1993)Arbitrage Theory in Continuous Time (1998)Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option (2003)On systematic mortality risk and risk-minimization with survivor swaps (2008)Actuarial mathematics for life contingent risks (2010)Option pricing: A simplified approach (1979)Optimal Portfolio Choice and the Valuation of Illiquid Securities (2001)Russian and American put options under exponential phase-type Lévy models (2003)A regression-based Monte Carlo method to solve backward stochastic differential equations (2005)Revisiting the Risk-Neutral Approach to Optimal Policyholder Behavior: A Study of Withdrawal Guarantees in Variable Annuities (2015)An Introduction to Applied Geostatistics (1991)Regression Modeling for the Valuation of Large Variable Annuity Portfolios (2016)Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach (2017)Moment matching machine learning methods for risk management of large variable annuity portfolios (2017)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Path Dependent Options: The Case of Lookback Options (1991)Robust hedging of the lookback option (1998)Pricing and Hedging Path-Dependent Options Under the CEV Process (2001)Option hedging for semimartingales (1991)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)
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References

  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 1976The pricing of equity-linked life insurance policies with an asset value guarantee509 cited
  • 1985Hedging of non-redundant contingent claims459 cited
  • 1998Randomization and the American Put404 cited
  • 1979Path Dependent Options: "Buy at the Low, Sell at the High"350 cited
  • 1977Equilibrium Prices of Guarantees under Equity-Linked Contracts253 cited
  • 1998Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts196 cited

Cited by

  • 2011Variable annuities: A unifying valuation approach176 cited
  • 2013Application of Data Clustering and Machine Learning in Variable Annuity Valuation99 cited
  • 2014Bringing cost transparency to the life annuity market90 cited
  • 2006Hedging guarantees in variable annuities under both equity and interest rate risks84 cited
  • 2007Robustly Hedging Variable Annuities With Guarantees Under Jump and Volatility Risks81 cited
  • 2009Pricing Annuity Guarantees Under a Regime-Switching Model72 cited
  • 2015Valuation of large variable annuity portfolios under nested simulation: A functional data approach71 cited
  • 2002Optimal asset allocation in life annuities: a note

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65 cited
  • 2009Regression-based algorithms for life insurance contracts with surrender guarantees64 cited
  • 2012Valuing equity-linked death benefits and other contingent options: A discounted density approach57 cited
  • 2019Valuing equity-linked death benefits in general exponential Lévy models56 cited
  • 2015Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits53 cited
  • 2011Analysis and Valuation of Insurance Companies51 cited
  • 2011The Valuation of Guaranteed Lifelong Withdrawal Benefit Options in Variable Annuity Contracts and the Impact of Mortality Risk48 cited
  • 2001Valuation of segregated funds: shout options with maturity extensions48 cited
  • 2010Valuation of a Guaranteed Minimum Income Benefit47 cited