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Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility

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References

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2018Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method22 cited
2016Risk based capital for guaranteed minimum withdrawal benefit19 cited
2019Gaussian Process Regression for Pricing Variable Annuities with Stochastic Volatility and Interest Rate18 cited
2015CALCULATING VARIABLE ANNUITY LIABILITY “GREEKS” USING MONTE CARLO SIMULATION16 cited
2017FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY15 cited
2019Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives9 cited