Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk

Precise option pricing by the COS method—How to choose the truncation range

(2022) Gero Junike et al.   APPLIED MATHEMATICS AND COMPUTATION

Analytic valuation of GMDB options with utility based asset allocation

(2022) Eric R. Ulm   Scandinavian Actuarial Journal

Variable annuity pricing, valuation, and risk management: a survey

(2022) Runhuan Feng et al.   Scandinavian Actuarial Journal

Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method

(2022) Boda Kang et al.   INSURANCE MATHEMATICS & ECONOMICS

Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk

(2022) Wei Zhong et al.   JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

Prepayment risk in reverse mortgages: An intensity-governed surrender model

(2021) Tianxiang Shi et al.   INSURANCE MATHEMATICS & ECONOMICS

Equity-Linked Guaranteed Minimum Death Benefits with Dollar Cost Averaging

(2021) J. Lars Kirkby et al.   INSURANCE MATHEMATICS & ECONOMICS

Variable annuities in a Lévy-based hybrid model with surrender risk

(2019) Laura Ballotta et al.   QUANTITATIVE FINANCE

Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates

(2018) Boda Kang et al.   INSURANCE MATHEMATICS & ECONOMICS

Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method

(2018) Nikolay Gudkov et al.   QUANTITATIVE FINANCE

A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps

(2017) Zhenyu Cui et al.   EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

Intensity-based framework for surrender modeling in life insurance

(2017) Vincenzo Russo et al.   INSURANCE MATHEMATICS & ECONOMICS

Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps

(2017) Zhenyu Cui et al.   INSURANCE MATHEMATICS & ECONOMICS

Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions

(2017) Chun-Sung Huang et al.   JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

European Option Pricing With a Fast Fourier Transform Algorithm for Big Data Analysis

(2016) Shuang Xiao et al.   IEEE Transactions on Industrial Informatics

Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options

(2016) Yang Shen et al.   INSURANCE MATHEMATICS & ECONOMICS

Variance swap with mean reversion, multifactor stochastic volatility and jumps

(2015) Chi Seng Pun et al.   EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

Optimal surrender policy for variable annuity guarantees

(2014) Carole Bernard et al.   INSURANCE MATHEMATICS & ECONOMICS

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

(2014) Anna Rita Bacinello et al.   Scandinavian Actuarial Journal

Valuing equity-linked death benefits in jump diffusion models

(2013) Hans U. Gerber et al.   INSURANCE MATHEMATICS & ECONOMICS

Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions

(2013) B. Zhang et al.   SIAM Journal on Financial Mathematics

On the Heston Model with Stochastic Interest Rates

(2011) Lech A. Grzelak et al.   SIAM Journal on Financial Mathematics

Lapse rate modeling: a rational expectation approach

(2008) Domenico De Giovanni   Scandinavian Actuarial Journal

A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions

(2008) F. Fang et al.   SIAM JOURNAL ON SCIENTIFIC COMPUTING