SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Optimal initiation of a GLWB in a variable annuity: No Arbitrage approach
16 references·0 citing·42 second hopsampled
Optimal initiation of a GLWB in a variable annuity: No Arbitrage approach (2014)Optimal initiation of a GLWB in a variabl…Revisiting the Risk-Neutral Approach to Optimal Policyholder Behavior: A Study of Withdrawal Guarantees in Variable Annuities (2015)Revisiting the Risk-Neutral A…Optimal surrender policy for variable annuity guarantees (2014)Optimal surrender policy for …Application of Data Clustering and Machine Learning in Variable Annuity Valuation (2013)Application of Data Clusterin…Variable annuities: A unifying valuation approach (2011)Variable annuities: A unifyin…Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives (2011)Longevity risk management for…Pricing Annuity Guarantees Under a Regime-Switching Model (2009)Pricing Annuity Guarantees Un…The effect of modelling parameters on the value of GMWB guarantees (2008)The effect of modelling param…GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES (2008)GUARANTEED MINIMUM WITHDRAWAL…A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities (2008)A Universal Pricing Framework…A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB) (2008)A numerical scheme for the im…Annuitization and asset allocation (2007)Annuitization and asset alloc…Hedging guarantees in variable annuities under both equity and interest rate risks (2006)Hedging guarantees in variabl…Financial valuation of guaranteed minimum withdrawal benefits (2005)Financial valuation of guaran…Guaranteed Annuity Options (2003)Guaranteed Annuity OptionsThe Titanic Option: Valuation of the Guaranteed Minimum Death Benefit in Variable Annuities and Mutual Funds (2001)The Titanic Option: Valuation…Stochastic differential equations with reflecting boundary conditions (1984)Stochastic differential equat…On the uniqueness of solutions of stochastic differential equations (1971)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Stochastic Differential Equations and Diffusion Processes (1983)On lipschitz continuity of the solution mapping to the skorokhod problem, with applications (1991)Optimal Investment and Consumption with Transaction Costs (1994)Stochastic Differential Equations (2014)The pricing of equity-linked life insurance policies with an asset value guarantee (1976)Hedging of non-redundant contingent claims (1985)Bringing cost transparency to the life annuity market (2014)“Options, Futures, and Other Derivatives” (2016)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Household annuitization decisions: simulations and empirical analyses (2004)Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA) (2005)Rational and Behavioral Perspectives on the Role of Annuities in Retirement Planning (2007)Determinants of corporate borrowing (1977)Brownian Motion and Stochastic Calculus (2007)The Fragility of Market Risk Insurance (2022)The Pricing of Options and Corporate Liabilities (1973)Brownian motion and stochastic calculus (1991)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities (2008)Valuation of a Guaranteed Minimum Income Benefit (2010)European Option Pricing with Transaction Costs (1993)Derivatives: The Theory and Practice of Financial Engineering (1998)Financial Modelling with Jump Processes (2003)Dynamic Asset Pricing Theory. (1993)A regression-based Monte Carlo method to solve backward stochastic differential equations (2005)Valuation of large variable annuity portfolios under nested simulation: A functional data approach (2015)Portfolio Selection with Transaction Costs (1990)Stochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic Controls (1999)Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance (2007)Optimal retirement income tontines (2015)Statistical analysis of cointegration vectors (1988)Modeling and Forecasting U. S. Mortality (1992)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Individual post-retirement longevity risk management under systematic mortality risk (2012)Managing Systematic Mortality Risk With Group Self‐Pooling and Annuitization Schemes (2012)Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk (2015)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1984Stochastic differential equations with reflecting boundary conditions817 cited
  • 2008A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities309 cited
  • 2007Annuitization and asset allocation272 cited
  • 2005Financial valuation of guaranteed minimum withdrawal benefits252 cited
  • 2008GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES196 cited
  • 2001The Titanic Option: Valuation of the Guaranteed Minimum Death Benefit in Variable Annuities and Mutual Funds193 cited
  • 2011Variable annuities: A unifying valuation approach176 cited
  • 2003Guaranteed Annuity Options143 cited
  • 2011Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives108 cited
  • 2008A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)108 cited
  • 2008The effect of modelling parameters on the value of GMWB guarantees103 cited
  • 2013Application of Data Clustering and Machine Learning in Variable Annuity Valuation99 cited
  • 2006Hedging guarantees in variable annuities under both equity and interest rate risks84 cited
  • 2009Pricing Annuity Guarantees Under a Regime-Switching Model72 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2015Revisiting the Risk-Neutral Approach to Optimal Policyholder Behavior: A Study of Withdrawal Guarantees in Variable Annuities65 cited
  • 2014Optimal surrender policy for variable annuity guarantees50 cited
  • Cited by

    No citing works inside the corpus for this window.