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Pricing variable annuity with surrender guarantee

Published:2021-09 Issue: Volume:393 Page:113508
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Jeon Junkee,Kwak Minsuk^ORCID

Funder

Ministry of Science and ICT, South Korea

Hankuk University of Foreign Studies

Ministry of Science, ICT and Future Planning

National Research Foundation of Korea

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference26 articles.

1. Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method;Alonso-Garcia;Quant. Finance,2018

2. The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviors;Bacinello;Scand. Actuar. J.,2016

3. Variable annuities in a Lévy-based hybrid model with surrender risk;Ballotta;Quant. Finance,2020

4. Semi-static hedging of variable annuities;Bernard;Insurance Math. Econom.,2016

5. Optimal surrender policy for variable annuity guarantees;Bernard;Insurance Math. Econom.,2014

Cited by 7 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. A Problem of Finite-Horizon Optimal Switching and Stochastic Control for Utility Maximization;SSRN Electronic Journal;2024

2. Variational inequality arising from variable annuity with mean reversion environment;Journal of Inequalities and Applications;2023-08-03

3. Surrender and path-dependent guarantees in variable annuities: integral equation solutions and benchmark methods;Decisions in Economics and Finance;2023-01-02

4. Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees;Scandinavian Actuarial Journal;2022-11-07

5. Analytic Valuation Formula for American Strangle Option in the Mean-Reversion Environment;Mathematics;2022-07-29

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