Pricing and hedging of variable annuities with state-dependent fees
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DOI: 10.1016/j.insmatheco.2014.06.002
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References listed on IDEAS
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Citations
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Cited by:
- Anne MacKay & Maciej Augustyniak & Carole Bernard & Mary R. Hardy, 2017. "Risk Management of Policyholder Behavior in Equity-Linked Life Insurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(2), pages 661-690, June.
- Runhuan Feng & Xiaochen Jing & Jan Dhaene, 2015.
"Comonotonic Approximations of Risk Measures for Variable Annuity Guaranteed Benefits with Dynamic Policyholder Behavior,"
Tinbergen Institute Discussion Papers
15-008/IV/DSF85, Tinbergen Institute.
- Runhuan Feng & Xiaochen Jing & Jan Dhaene, 2015. "Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior," Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven 485229, KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven.
- Wang, Gu & Zou, Bin, 2021. "Optimal fee structure of variable annuities," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 587-601.
- Zhenyu Cui & Anne MacKay & Marie-Claude Vachon, 2022. "Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation," Papers 2207.14793, arXiv.org.
- Zhou, Jiang & Wu, Lan, 2015. "Valuing equity-linked death benefits with a threshold expense strategy," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 79-90.
- Zhou, Jiang & Wu, Lan, 2015. "The time of deducting fees for variable annuities under the state-dependent fee structure," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 125-134.
- D. Baños & T. Meyer-Brandis & F. Proske & S. Duedahl, 2017. "Computing deltas without derivatives," Finance and Stochastics, Springer, vol. 21(2), pages 509-549, April.
- Michael A. Kouritzin & Anne MacKay, 2017. "VIX-linked fees for GMWBs via Explicit Solution Simulation Methods," Papers 1708.06886, arXiv.org, revised Apr 2018.
- Anne Mackay & Marie-Claude Vachon, 2023. "On an Optimal Stopping Problem with a Discontinuous Reward," Papers 2311.03538, arXiv.org, revised Nov 2023.
- Kouritzin, Michael A. & MacKay, Anne, 2018. "VIX-linked fees for GMWBs via explicit solution simulation methods," Insurance: Mathematics and Economics, Elsevier, vol. 81(C), pages 1-17.
- Anna Rita Bacinello & Ivan Zoccolan, 2019. "Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 21-49, June.
- Fontana, Claudio & Rotondi, Francesco, 2023. "Valuation of general GMWB annuities in a low interest rate environment," Insurance: Mathematics and Economics, Elsevier, vol. 112(C), pages 142-167.
- Moenig, Thorsten, 2021. "Variable annuities: Market incompleteness and policyholder behavior," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 63-78.
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More about this item
Keywords
Quadratic optimization; Incomplete market; Lévy process; Backward stochastic differential equations; Lévy Clayton copula;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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