The Valuation of Guaranteed Lifelong Withdrawal Benefit Options in Variable Annuity Contracts and the Impact of Mortality Risk
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DOI: 10.1080/10920277.2011.10597609
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Citations
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Cited by:
- Huang, H. & Milevsky, M.A. & Salisbury, T.S., 2014.
"Optimal initiation of a GLWB in a variable annuity: No Arbitrage approach,"
Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 102-111.
- H. Huang & M. A. Milevsky & T. S. Salisbury, 2013. "Optimal initiation of a GLWB in a variable annuity: no arbitrage approach," Papers 1304.1821, arXiv.org.
- Feng, Runhuan & Yi, Bingji, 2019. "Quantitative modeling of risk management strategies: Stochastic reserving and hedging of variable annuity guaranteed benefits," Insurance: Mathematics and Economics, Elsevier, vol. 85(C), pages 60-73.
- Bacinello, Anna Rita & Maggistro, Rosario & Zoccolan, Ivan, 2024. "Risk-neutral valuation of GLWB riders in variable annuities," Insurance: Mathematics and Economics, Elsevier, vol. 114(C), pages 1-14.
- Steinorth, Petra & Mitchell, Olivia S., 2015. "Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 246-258.
- Forsyth, Peter & Vetzal, Kenneth, 2014. "An optimal stochastic control framework for determining the cost of hedging of variable annuities," Journal of Economic Dynamics and Control, Elsevier, vol. 44(C), pages 29-53.
- Parsiad Azimzadeh & Peter A. Forsyth, 2015. "The existence of optimal bang-bang controls for GMxB contracts," Papers 1502.05743, arXiv.org, revised Nov 2015.
- Forsyth, Peter A., 2020. "Optimal dynamic asset allocation for DC plan accumulation/decumulation: Ambition-CVAR," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 230-245.
- Hyounggun Song & Sung Kwon Han & Seung Hwan Jeong & Hee Soo Lee & Kyong Joo Oh, 2019. "Using Genetic Algorithms to Develop a Dynamic Guaranteed Option Hedge System," Sustainability, MDPI, vol. 11(15), pages 1-12, July.
- Dai, Tian-Shyr & Yang, Sharon S. & Liu, Liang-Chih, 2015. "Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 364-379.
- Ignatieva, Katja & Song, Andrew & Ziveyi, Jonathan, 2016. "Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 286-300.
- Fung, Man Chung & Ignatieva, Katja & Sherris, Michael, 2014. "Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 103-115.
- Hsieh, Ming-hua & Wang, Jennifer L. & Chiu, Yu-Fen & Chen, Yen-Chih, 2018. "Valuation of variable long-term care Annuities with Guaranteed Lifetime Withdrawal Benefits: A variance reduction approach," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 246-254.
- Nitu Sharma & S. Dharmaraja & Viswanathan Arunachalam, 2021. "A Time Series Framework for Pricing Guaranteed Lifelong Withdrawal Benefit," Computational Economics, Springer;Society for Computational Economics, vol. 58(4), pages 1225-1261, December.
- Guglielmo D’Amico & Shakti Singh & Dharmaraja Selvamuthu, 2023. "Analysis of fair fee in guaranteed lifelong withdrawal and Markovian health benefits," Annals of Finance, Springer, vol. 19(3), pages 383-400, September.
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