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Optimal initiation of a GLWB in a variable annuity: No Arbitrage approach · Study

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ArticleOptimal initiation of a GLWB in a variable annuity: No Arbitrage approach

Huaxiong Huang2014

Article2014

Optimal initiation of a GLWB in a variable annuity: No Arbitrage approach

Huaxiong Huang · Moshe A. Milevsky · Thomas S. Salisbury

25 citations·0/0 files stored·Insurance Mathematics and Economics

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Stochastic processes and financial applications Insurance and Financial Risk Management Financial Literacy, Pension, Retirement Analysis

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References

1984Stochastic differential equations with reflecting boundary conditions 2008A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities 2007Annuitization and asset allocation 2005Financial valuation of guaranteed minimum withdrawal benefits 2008GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES 2001The Titanic Option: Valuation of the Guaranteed Minimum Death Benefit in Variable Annuities and Mutual Funds 2011Variable annuities: A unifying valuation approach 2003Guaranteed Annuity Options

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2013Application of Data Clustering and Machine Learning in Variable Annuity Valuationarticle · 11 shared references 2016A Unified Pricing of Variable Annuity Guarantees under the Optimal Stochastic Control Frameworkarticle · 10 shared references 2014The valuation of GMWB variable annuities under alternative fund distributions and policyholder behavioursarticle · 9 shared references 2015The Existence of Optimal Bang-Bang Controls for GMxB Contractsarticle · 9 shared references 2014An optimal stochastic control framework for determining the cost of hedging of variable annuitiesarticle · 8 shared references 2017Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS methodarticle · 8 shared references

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Year2014

Typearticle

Published2014-04-15

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations25

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.insmatheco.2014.04.002

openalex_workW3122818774

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