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Analytical calculation of risk measures for variable annuity guaranteed benefits
9 references·5 citing·39 second hop
Analytical calculation of risk measures for variable annuity guaranteed benefits (2012)Analytical calculation of risk measures f…Variable annuities: A unifying valuation approach (2011)Variable annuities: A unifyin…Variable Annuities: A Unifying Valuation Approach (2011)Variable Annuities: A Unifyin…A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities (2008)A Universal Pricing Framework…Hedging guarantees in variable annuities under both equity and interest rate risks (2006)Hedging guarantees in variabl…Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options (2004)Bessel Processes, the Integra…Investment guarantees : modeling and risk management for equity-linked life insurance (2003)Investment guarantees : model…A Regime-Switching Model of Long-Term Stock Returns (2001)A Regime-Switching Model of L…BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)BESSEL PROCESSES, ASIAN OPTIO…The Laplace transform of annuities certain with exponential time distribution (1992)The Laplace transform of annu…Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging (2021)Equity-linked Guaranteed Mini…Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets (2017)Valuation of large variable a…Application of metamodeling to the valuation of large variable annuity portfolios (2015)Application of metamodeling t…SPECTRAL METHODS FOR THE CALCULATION OF RISK MEASURES FOR VARIABLE ANNUITY GUARANTEED BENEFITS (2014)SPECTRAL METHODS FOR THE CALC…Optimal initiation of a GLWB in a variable annuity: No Arbitrage approach (2014)Optimal initiation of a GLWB …The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Guaranteed Annuity Options (2003)Financial valuation of guaranteed minimum withdrawal benefits (2005)Actuarial mathematics for life contingent risks (2010)On Distributions of Certain Wiener Functionals (1949)An analytical inversion of a Laplace transform related to annuities certain (1994)Two Stochastic Approaches for Discounting Actuarial Functions (1994)Asymmetric skew Bessel processes and their applications to finance (2005)The pricing of equity-linked life insurance policies with an asset value guarantee (1976)Variance-Optimal Hedging in Discrete Time (1995)Robustly Hedging Variable Annuities With Guarantees Under Jump and Volatility Risks (2007)A Guided Tour through Quadratic Hedging Approaches (2010)Valuation of large variable annuity portfolios under nested simulation: A functional data approach (2015)Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps (2017)Tax Policy and the Economy (1990)Dynamic Asset Pricing Theory. (1993)Continuous Martingales and Brownian Motion (1999)Stochastic Differential Equations (2003)On the Fundamental Solution of the Kolmogorov–Shiryaev Equation (2006)On the qualitative effect of volatility and duration on prices of Asian options (2008)Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models (2009)A Theory of the Term Structure of Interest Rates (1985)The value of an Asian option (1995)Order Flow, Transaction Clock, and Normality of Asset Returns (2000)Mathematical Methods for Financial Markets (2010)Determinants of corporate borrowing (1977)Brownian Motion and Stochastic Calculus (2007)Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives (2011)“Options, Futures, and Other Derivatives” (2016)The Fragility of Market Risk Insurance (2022)Generalized autoregressive conditional heteroskedasticity (1986)Option pricing and Esscher transform under regime switching (2005)Online portfolio selection (2014)Interpolation Methods for Curve Construction (2006)A regression-based Monte Carlo method to solve backward stochastic differential equations (2005)Application of Data Clustering and Machine Learning in Variable Annuity Valuation (2013)Revisiting the Risk-Neutral Approach to Optimal Policyholder Behavior: A Study of Withdrawal Guarantees in Variable Annuities (2015)
this work references cited by second hop

References

  • 1993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES557 cited
  • 2001A Regime-Switching Model of Long-Term Stock Returns436 cited
  • 2008A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities309 cited
  • 2003Investment guarantees : modeling and risk management for equity-linked life insurance269 cited
  • 2011Variable annuities: A unifying valuation approach176 cited
  • 2006Hedging guarantees in variable annuities under both equity and interest rate risks84 cited
  • 2004Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options70 cited
  • 1992The Laplace transform of annuities certain with exponential time distribution50 cited
  • 2011Variable Annuities: A Unifying Valuation Approach40 cited

Cited by

  • 2017Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets32 cited
  • 2014SPECTRAL METHODS FOR THE CALCULATION OF RISK MEASURES FOR VARIABLE ANNUITY GUARANTEED BENEFITS29 cited
  • 2014Optimal initiation of a GLWB in a variable annuity: No Arbitrage approach25 cited
  • 2021Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging25 cited
  • 2015Application of metamodeling to the valuation of large variable annuity portfolios25 cited

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