The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours

Iterative methods for the solution of a singular control formulation of a GMWB pricing problem

(2012) Y. Huang et al.   NUMERISCHE MATHEMATIK

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

On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View

(2010) Daniel Bauer et al.   Astin Bulletin

Pricing guaranteed minimum withdrawal benefits under stochastic interest rates

(2010) Jingjiang Peng et al.   QUANTITATIVE FINANCE

A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities

(2008) Daniel Bauer et al.   Astin Bulletin

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

A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)

(2008) Zhuliang Chen et al.   NUMERISCHE MATHEMATIK

Fair valuation of insurance contracts under Lévy process specifications

(2007) Stefan Kassberger et al.   INSURANCE MATHEMATICS & ECONOMICS