Related papers: Fast Numerical Method for Pricing of Variable Annu…
A variable annuity contract with Guaranteed Minimum Withdrawal Benefit (GMWB) promises to return the entire initial investment through cash withdrawals during the contract plus the remaining account balance at maturity, regardless of the…
Variable annuities with Guaranteed Minimum Withdrawal Benefits (GMWB) entitle the policy holder to periodic withdrawals together with a terminal payoff linked to the performance of an equity fund. In this paper, we consider the valuation of…
In this paper we present a numerical valuation of variable annuities with combined Guaranteed Minimum Withdrawal Benefit (GMWB) and Guaranteed Minimum Death Benefit (GMDB) under optimal policyholder behaviour solved as an optimal stochastic…
Under the optimal withdrawal strategy of a policyholder, the pricing of variable annuities with Guaranteed Minimum Withdrawal Benefit (GMWB) is an optimal stochastic control problem. The surrender feature available in marketed products…
In this paper we investigate price and Greeks computation of a Guaranteed Minimum Withdrawal Benefit (GMWB) Variable Annuity (VA) when both stochastic volatility and stochastic interest rate are considered together in the Heston Hull-White…
Valuing Guaranteed Minimum Withdrawal Benefit (GMWB) has attracted significant attention from both the academic field and real world financial markets. As remarked by Yang and Dai, the Black and Scholes framework seems to be inappropriate…
The guaranteed minimum withdrawal benefit (GMWB) rider, as an add on to a variable annuity (VA), guarantees the return of premiums in the form of peri- odic withdrawals while allowing policyholders to participate fully in any market gains.…
In this paper, we review pricing of variable annuity living and death guarantees offered to retail investors in many countries. Investors purchase these products to take advantage of market growth and protect savings. We present pricing of…
In a market with stochastic volatility and jumps, we consider a VIX-linked fee structure for variable annuity contracts with guaranteed minimum withdrawal benefits (GMWB). Our goal is to assess the effectiveness of the VIX-linked fee…
This paper investigates optimal withdrawal strategies and behavior of policyholders in a variable annuity (VA) contract with a guaranteed minimum withdrawal benefit (GMWB) rider incorporating taxation and a ratchet mechanism for enhancing…
Valuing Guaranteed Lifelong Withdrawal Benefit (GLWB) has attracted significant attention from both the academic field and real world financial markets. As remarked by Forsyth and Vetzal the Black and Scholes framework seems to be…
We construct a binomial model for a guaranteed minimum withdrawal benefit (GMWB) rider to a variable annuity (VA) under optimal policyholder behaviour. The binomial model results in explicitly formulated perfect hedging strategies funded…
In general, the pricing of variable annuities with guarantees can be done by solving the corresponding optimal stochastic control problem if the contract withdrawal strategy is assumed to be optimal. This is typically solved as a dynamic…
We develop an efficient pricing approach for guaranteed minimum withdrawal benefits (GMWBs) with continuous withdrawals under a realistic modeling setting with jump-diffusions and stochastic interest rate. Utilizing an impulse stochastic…
The state-of-the-art proposes Life Care Annuities, that have been recently designed as variable annuity contracts with Long-Term Care payouts and Guaranteed Lifelong Withdrawal Benefits. In this paper, we propose more general features for…
In this paper we explore an identity in distribution of hitting times of a finite variation process (Yor's process) and a diffusion process (geometric Brownian motion with affine drift), which arise from various applications in financial…
A variable annuity is an equity-linked financial product typically offered by insurance companies. The policyholder makes an upfront payment to the insurance company and, in return, the insurer is required to make a series of payments…
This paper presents numerical algorithm and results for pricing a capital protection option offered by many asset managers for investment portfolios to take advantage of market growth and protect savings. Under optimal withdrawal…
In this paper, we study the price of Variable Annuity Guarantees, especially of Guaranteed Annuity Options (GAO) and Guaranteed Minimum Income Benefit (GMIB), and this in the settings of a derivative pricing model where the underlying spot…
We consider the pricing of variable annuities (VAs) with general fee structures under popular stochastic volatility models such as Heston, Hull-White, Scott, $\alpha$-Hypergeometric, $3/2$, and $4/2$ models. In particular, we analyze the…