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Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
16 references·1 citing·36 second hop
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References

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  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1825XXIV. On the nature of the function expressive of the law of human mortality, and on a new mode of determining the value of life contingencies. In a letter to Francis Baily, Esq. F. R. S. &c3,817 cited
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  • 2003The Impact of Jumps in Volatility and Returns1,469 cited
  • 1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application978 cited
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  • 1976The pricing of equity-linked life insurance policies with an asset value guarantee509 cited
  • 2005Affine processes for dynamic mortality and actuarial valuations354 cited
  • 2008A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities309 cited
  • 2005Financial valuation of guaranteed minimum withdrawal benefits252 cited
  • 2011On the Heston Model with Stochastic Interest Rates248 cited
  • 2006Valuation and hedging of life insurance liabilities with systematic mortality risk

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234 cited
  • 1996SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION226 cited
  • 2006Finite Difference Methods in Financial Engineering201 cited
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    • 2022Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method19 cited