Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization

Xiaolin Luo; Pavel V. Shevchenko

Year of publication:	2015
Authors:	Luo, Xiaolin ; Shevchenko, Pavel V.
Published in:	Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 62.2015, p. 5-15
Subject:	Variable annuity \| Optimal stochastic control \| Guaranteed minimum withdrawal benefit \| Guaranteed minimum death benefit \| Mortality risk \| Sterblichkeit \| Mortality \| Stochastischer Prozess \| Stochastic process \| Kontrolltheorie \| Control theory \| Lebensversicherung \| Life insurance \| Leibrente \| Life annuity

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