Donnelly, Ryan; Jaimungal, Sebastian; Rubisov, Dmitri H. - In: Quantitative Finance 14 (2014) 2, pp. 369-382
Guaranteed withdrawal benefits are long term contracts which provide investors with equity participation while guaranteeing them a secured income stream. Due to the long investment horizons involved, stochastic volatility and stochastic interest rates are important factors to include in their...