标题
Variable annuity pricing, valuation, and risk management: a survey
作者
关键词
-
出版物
Scandinavian Actuarial Journal
Volume -, Issue -, Pages 1-34
出版商
Informa UK Limited
发表日期
2022-03-29
DOI
10.1080/03461238.2022.2049635
参考文献
相关参考文献
注意:仅列出部分参考文献,下载原文获取全部文献信息。- Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach
- (2021) Peng Li et al. Scandinavian Actuarial Journal
- Fast and efficient nested simulation for large variable annuity portfolios: A surrogate modeling approach
- (2020) X. Sheldon Lin et al. INSURANCE MATHEMATICS & ECONOMICS
- AN EFFECTIVE BIAS-CORRECTED BAGGING METHOD FOR THE VALUATION OF LARGE VARIABLE ANNUITY PORTFOLIOS
- (2020) Hyukjun Gweon et al. Astin Bulletin
- LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK
- (2018) Denis-Alexandre Trottier et al. Astin Bulletin
- An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks
- (2018) Yixing Zhao et al. INSURANCE MATHEMATICS & ECONOMICS
- Exponential functionals of Lévy processes and variable annuity guaranteed benefits
- (2018) Runhuan Feng et al. STOCHASTIC PROCESSES AND THEIR APPLICATIONS
- Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
- (2017) Runhuan Feng et al. INSURANCE MATHEMATICS & ECONOMICS
- Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit under stochastic interest rate
- (2017) Pavel V. Shevchenko et al. INSURANCE MATHEMATICS & ECONOMICS
- Modeling partial Greeks of variable annuities with dependence
- (2017) Guojun Gan et al. INSURANCE MATHEMATICS & ECONOMICS
- Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
- (2017) Runhuan Feng et al. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
- Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
- (2017) Jennifer Alonso-García et al. QUANTITATIVE FINANCE
- Applications of central limit theorems for equity-linked insurance
- (2016) Runhuan Feng et al. INSURANCE MATHEMATICS & ECONOMICS
- Statutory financial reporting for variable annuity guaranteed death benefits: Market practice, mathematical modeling and computation
- (2016) Runhuan Feng et al. INSURANCE MATHEMATICS & ECONOMICS
- Valuing inflation-linked death benefits under a stochastic volatility framework
- (2016) Zongxia Liang et al. INSURANCE MATHEMATICS & ECONOMICS
- The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options
- (2016) Griselda Deelstra et al. INSURANCE MATHEMATICS & ECONOMICS
- A neural network approach to efficient valuation of large portfolios of variable annuities
- (2016) Seyed Amir Hejazi et al. INSURANCE MATHEMATICS & ECONOMICS
- A short proof of duality relations for hypergeometric functions
- (2016) Runhuan Feng et al. JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS
- Risk based capital for guaranteed minimum withdrawal benefit
- (2016) Runhuan Feng et al. QUANTITATIVE FINANCE
- Analytic Solution for Return of Premium and Rollup Guaranteed Minimum Death Benefit Options Under Some Simple Mortality Laws
- (2016) Eric R. Ulm Astin Bulletin
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- (2016) Daniel Bauer et al. Astin Bulletin
- Calculating Variable Annuity Liability “Greeks” Using Monte Carlo Simulation
- (2015) Mark J. Cathcart et al. Astin Bulletin
- Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
- (2015) Tian-Shyr Dai et al. INSURANCE MATHEMATICS & ECONOMICS
- Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization
- (2015) Xiaolin Luo et al. INSURANCE MATHEMATICS & ECONOMICS
- The time of deducting fees for variable annuities under the state-dependent fee structure
- (2015) Jiang Zhou et al. INSURANCE MATHEMATICS & ECONOMICS
- Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits
- (2015) Petra Steinorth et al. INSURANCE MATHEMATICS & ECONOMICS
- Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection
- (2015) Vanya Horneff et al. INSURANCE MATHEMATICS & ECONOMICS
- Valuation of large variable annuity portfolios under nested simulation: A functional data approach
- (2015) Guojun Gan et al. INSURANCE MATHEMATICS & ECONOMICS
- An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit
- (2015) Runhuan Feng et al. Mathematics and Financial Economics
- Statistical learning for variable annuity policyholder withdrawal behavior
- (2014) Zhe Zhu et al. APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY
- State-Dependent Fees for Variable Annuity Guarantees
- (2014) Carole Bernard et al. Astin Bulletin
- Spectral Methods for the Calculation of Risk Measures for Variable Annuity Guaranteed Benefits
- (2014) Runhuan Feng et al. Astin Bulletin
- Optimal initiation of a GLWB in a variable annuity: No Arbitrage approach
- (2014) H. Huang et al. INSURANCE MATHEMATICS & ECONOMICS
- Pricing and hedging of variable annuities with state-dependent fees
- (2014) Łukasz Delong INSURANCE MATHEMATICS & ECONOMICS
- Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws
- (2014) Eric R. Ulm INSURANCE MATHEMATICS & ECONOMICS
- Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities
- (2014) Man Chung Fung et al. INSURANCE MATHEMATICS & ECONOMICS
- Valuing equity-linked death benefits in jump diffusion models
- (2013) Hans U. Gerber et al. INSURANCE MATHEMATICS & ECONOMICS
- Application of data clustering and machine learning in variable annuity valuation
- (2013) Guojun Gan INSURANCE MATHEMATICS & ECONOMICS
- Pricing Variable Annuity Guarantees in a local volatility framework
- (2013) Griselda Deelstra et al. INSURANCE MATHEMATICS & ECONOMICS
- A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
- (2013) Sharon S. Yang et al. INSURANCE MATHEMATICS & ECONOMICS
- A comonotonicity-based valuation method for guaranteed annuity options
- (2013) Xiaoming Liu et al. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
- Valuing equity-linked death benefits and other contingent options: A discounted density approach
- (2012) Hans U. Gerber et al. INSURANCE MATHEMATICS & ECONOMICS
- Analytical calculation of risk measures for variable annuity guaranteed benefits
- (2012) Runhuan Feng et al. INSURANCE MATHEMATICS & ECONOMICS
- Optimal consumption and allocation in variable annuities with Guaranteed Minimum Death Benefits
- (2012) Jin Gao et al. INSURANCE MATHEMATICS & ECONOMICS
- Valuing variable annuity guarantees with the multivariate Esscher transform
- (2011) Andrew Cheuk-Yin Ng et al. INSURANCE MATHEMATICS & ECONOMICS
- Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives
- (2011) Andrew Ngai et al. INSURANCE MATHEMATICS & ECONOMICS
- Variable annuities: A unifying valuation approach
- (2011) Anna Rita Bacinello et al. INSURANCE MATHEMATICS & ECONOMICS
- Mortality density forecasts: An analysis of six stochastic mortality models
- (2011) Andrew J.G. Cairns et al. INSURANCE MATHEMATICS & ECONOMICS
- Pricing maturity guarantee with dynamic withdrawal benefit
- (2010) Bangwon Ko et al. INSURANCE MATHEMATICS & ECONOMICS
- Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
- (2010) Alexander van Haastrecht et al. INSURANCE MATHEMATICS & ECONOMICS
- Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
- (2010) Jingjiang Peng et al. QUANTITATIVE FINANCE
- Quantile hedging for guaranteed minimum death benefits
- (2009) Yumin Wang 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
Publish scientific posters with Peeref
Peeref publishes scientific posters from all research disciplines. Our Diamond Open Access policy means free access to content and no publication fees for authors.
Learn MoreCreate your own webinar
Interested in hosting your own webinar? Check the schedule and propose your idea to the Peeref Content Team.
Create Now