Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees

The Existence of Optimal Bang-Bang Controls for GMxB Contracts

(2015) P. Azimzadeh et al.   SIAM Journal on Financial Mathematics

Delta–Gamma hedging of mortality and interest rate risk

(2012) Elisa Luciano et al.   INSURANCE MATHEMATICS & ECONOMICS

Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB)

(2011) Y. Huang et al.   IMA JOURNAL OF NUMERICAL ANALYSIS

Variable annuities: A unifying valuation approach

(2011) Anna Rita Bacinello et al.   INSURANCE MATHEMATICS & ECONOMICS

THE TRACKING ERROR RATE OF THE DELTA-GAMMA HEDGING STRATEGY

(2010) Emmanuel Gobet et al.   MATHEMATICAL FINANCE

Risk minimization in stochastic volatility models: model risk and empirical performance

(2009) Rolf Poulsen et al.   QUANTITATIVE FINANCE

A comparison of biased simulation schemes for stochastic volatility models

(2009) Roger Lord et al.   QUANTITATIVE FINANCE

Regression-based algorithms for life insurance contracts with surrender guarantees

(2009) Anna Rita Bacinello et al.   QUANTITATIVE FINANCE

A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities

(2008) Daniel Bauer et al.   Astin Bulletin

Comparison results for stochastic volatility models via coupling

(2008) David Hobson   FINANCE AND STOCHASTICS

The effect of modelling parameters on the value of GMWB guarantees

(2008) Z. Chen et al.   INSURANCE MATHEMATICS & ECONOMICS

GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES

(2008) Min Dai et al.   MATHEMATICAL FINANCE