Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization-Reference-Cited by-同舟云学术

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Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization

Published:2015-05 Issue: Volume:62 Page:5-15
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Luo Xiaolin,Shevchenko Pavel V.

Funder

CSIRO-Monash Superannuation Research Cluster

Monash University

Griffith University

University of Western Australia

University of Warwick

stakeholders of the retirement system

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference15 articles.

1. Variable annuities: a unifying valuation approach;Bacinello;Insurance Math. Econom.,2011

2. A universal pricing framework for guaranteed minimum benefits in variable annuities;Bauer;ASTIN Bull.,2008

3. Markov Decision Processes with Applications to Finance;Bäuerle,2011

4. A numerical scheme for the impulse control formulation for pricing variable annuities with a Guaranteed Minimum Withdrawal Benefit (GMWB);Chen;Numer. Math.,2008

5. Guaranteed minimum withdrawal benefit in variable annuities;Dai;Math. Finance,2008

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