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Valuation of variable long-term care Annuities with Guaranteed Lifetime Withdrawal Benefits : a variance reduction approach

Hsieh, Ming-hua; Wang, Jennifer L.; Chiu, Yu-Fen; Chen, … - In: Insurance / Mathematics & economics 78 (2018), pp. 246-254

Persistent link: https://www.econbiz.de/10011825282

Taxation and policyholder behaviour : the case of guaranteed minimum accumulation benefits

Alonso-García, Jennifer; Sherris, Michael; Thirurajah, … - 2020

Persistent link: https://www.econbiz.de/10012582575

A time series framework for pricing guaranteed lifelong withdrawal benefit

Sharma, Nitu; Dharmaraja, Selvamuthu; Arunachalam, … - In: Computational economics 58 (2021) 4, pp. 1225-1261

Persistent link: https://www.econbiz.de/10012697910

Systematic longevity risk : to bear or to insure?

Boon, Ling-Ni; Brière, Marie; Werker, Bas J. M. - In: Journal of pension economics and finance : JPEF 19 (2020) 3, pp. 409-441

Persistent link: https://www.econbiz.de/10012240694

Optimal static hedging of variable annuities with volatility-dependent fees

Tang, Junsen - In: Risks : open access journal 12 (2024) 1, pp. 1-20

Variable annuities (VAs) and other long-term equity-linked insurance products are typically difficult to hedge in the incomplete markets. A state-dependent fee tied with market volatility for VAs is designed to contribute the risk-sharing mechanism between policyholders and insurers. Different...

Persistent link: https://www.econbiz.de/10014480918

Valuation of general GMWB annuities in a low interest rate environment

Fontana, Claudio; Rotondi, Francesco - In: Insurance / Mathematics & economics 112 (2023), pp. 142-167

Persistent link: https://www.econbiz.de/10014446751

Surrender and path-dependent guarantees in variable annuities : integral equation solutions and benchmark methods

Martire, Antonio L.; Russo, Emilio; Staino, Alessandro - In: Decisions in economics and finance : a journal of … 46 (2023) 1, pp. 177-220

Persistent link: https://www.econbiz.de/10014321412

Taxation and policyholder behavior : the case of guaranteed minimum accumulation benefits

Alonso-García, Jennifer; Sherris, Michael; Thirurajah, … - In: ASTIN bulletin : the journal of the International … 54 (2024) 1, pp. 185-212

Persistent link: https://www.econbiz.de/10014485606

Horizon effect on optimal retirement decision

Jeon, Junkee; Kwak, Minsuk; Park, Kyunghyun - In: Quantitative finance 23 (2023) 1, pp. 123-148

Persistent link: https://www.econbiz.de/10013490961

Valuation perspectives and decompositions for variable annuities with GMWB riders

Hyndman, Cody B.; Wenger, Menachem - In: Insurance: Mathematics and Economics 55 (2014) C, pp. 283-290

The guaranteed minimum withdrawal benefit (GMWB) rider, as an add on to a variable annuity (VA), guarantees the return …. GMWB riders represent an embedded option on the account value with a fee structure that is different from typical financial … derivatives. We consider fair pricing of the GMWB rider from a financial economic perspective. Particular focus is placed on the …

Persistent link: https://www.econbiz.de/10010753213