Analytic valuation of GMDB options with utility based asset allocation
Author:
Affiliation:
1. School of Economics and Finance, Victoria University of Wellington, Wellington, New Zealand
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03461238.2022.2034127
Reference28 articles.
1. Variable annuities: A unifying valuation approach
2. Policyholder Exercise Behavior in Life Insurance: The State of Affairs
3. A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
4. How Strong Are Bequest Motives? Evidence Based on Estimates of the Demand for Life Insurance and Annuities
5. Fitting combinations of exponentials to probability distributions
Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk;Journal of Computational and Applied Mathematics;2024-04
2. Valuation of a Mixture of GMIB and GMDB Variable Annuity;Mathematics;2024-01-30
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