Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities-Reference-Cited by-同舟云学术

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Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities

Published:2018-11 Issue: Volume:83 Page:93-109
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Jeon Junkee,Kwak Minsuk^ORCID

Funder

National Research Foundation of Korea (NRF)

Hankuk University of Foreign Studies Research Fund of 2018

Publisher

Elsevier BV

Subject

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

Reference19 articles.

1. Pricing of American path-dependent contingent claims;Barraquand;Math. Finance,1994

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

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

4. Robustly hedging variable annuities with guarantees under jump and volatility risks;Coleman;J. Risk and Insur.,2007

5. Hedging guarantees in variable annuities under both equity and interest rate risks;Coleman;Insurance Math. Econom.,2006

Cited by 17 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. Efficient valuation of variable annuities under regime-switching jump diffusion models with surrender risk and mortality risk;Communications in Nonlinear Science and Numerical Simulation;2024-11

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

3. Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees;Scandinavian Actuarial Journal;2023-07-31

4. Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk;Journal of Computational and Applied Mathematics;2023-04

5. Pseudo-model-free hedging for variable annuities via deep reinforcement learning;Annals of Actuarial Science;2023-03-14

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