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Variable annuities: A unifying valuation approach

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2013Application of Data Clustering and Machine Learning in Variable Annuity Valuation99 cited
2015Valuation of large variable annuity portfolios under nested simulation: A functional data approach71 cited
2015Revisiting the Risk-Neutral Approach to Optimal Policyholder Behavior: A Study of Withdrawal Guarantees in Variable Annuities65 cited
2012Valuing equity-linked death benefits and other contingent options: A discounted density approach57 cited
2014Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities

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53 cited

2015Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits53 cited

2014An optimal stochastic control framework for determining the cost of hedging of variable annuities53 cited

2012Analytical calculation of risk measures for variable annuity guaranteed benefits48 cited

2011Valuing variable annuity guarantees with the multivariate Esscher transform42 cited

2014The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours40 cited

2015Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees39 cited

2015Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization39 cited

2015The Existence of Optimal Bang-Bang Controls for GMxB Contracts36 cited

2016Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality36 cited

2015Pricing and Hedging Variable Annuities in a Lévy Market: A Risk Management Perspective34 cited

2017Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets32 cited