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Quantitative Finance Volume 19, 2019 - Issue 3
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Research Papers

Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method

Nikolay GudkovSchool of Risk and Actuarial Studies, Business School, UNSW Australia, Sydney, NSW 2052, AustraliaCorrespondence[email protected]
,
Katja IgnatievaSchool of Risk and Actuarial Studies, Business School, UNSW Australia, Sydney, NSW 2052, AustraliaORCID Iconhttp://orcid.org/0000-0001-7472-5475
ORCID Icon &
Jonathan ZiveyiSchool of Risk and Actuarial Studies, Business School, UNSW Australia, Sydney, NSW 2052, AustraliaORCID Iconhttp://orcid.org/0000-0001-9029-8039
ORCID Icon
Pages 501-518 | Received 04 Jun 2017, Accepted 01 Jun 2018, Published online: 03 Sep 2018

Citations (17)

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Read on this site (3)

Wei Zhong, Dan Zhu & Zhimin Zhang. (2023) Valuation of variable annuities under stochastic volatility and stochastic jump intensity. Scandinavian Actuarial Journal 2023:7, pages 708-734.
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J. Lars Kirkby & Jean-Philippe Aguilar. (2023) Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees. Scandinavian Actuarial Journal 2023:6, pages 624-654.
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Laura Ballotta, Ernst Eberlein, Thorsten Schmidt & Raghid Zeineddine. (2020) Variable annuities in a Lévy-based hybrid model with surrender risk. Quantitative Finance 20:5, pages 867-886.
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Articles from other publishers (14)

Wei Zhong, Benxuan Shi & Zhimin Zhang. (2024) Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk. Journal of Computational and Applied Mathematics 440, pages 115646.
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Claudio Fontana & Francesco Rotondi. (2023) Valuation of general GMWB annuities in a low interest rate environment. Insurance: Mathematics and Economics 112, pages 142-167.
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晶 宫. (2023) Pricing of Variable Annuities with Combined Guaranteed Minimum Withdrawal Benefit. Pure Mathematics 13:04, pages 1083-1089.
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Fatma Mrad, Haykel Hamdi, Kamel Naoui & Ilyes Abid. (2023) The GMWB guarantee embedded in Life Insurance Contracts: Fair Value Pricing Problem. Finance Research Letters 51, pages 103327.
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Boda Kang, Yang Shen, Dan Zhu & Jonathan Ziveyi. (2022) Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method. Insurance: Mathematics and Economics 105, pages 96-127.
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Karim Barigou & Łukasz Delong. (2022) Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. Journal of Computational and Applied Mathematics 404, pages 113922.
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Laura Ballotta, Ernst Eberlein, Thorsten Schmidt & Raghid Zeineddine. (2021) Fourier based methods for the management of complex life insurance products. Insurance: Mathematics and Economics 101, pages 320-341.
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J. Lars Kirkby & Duy Nguyen. (2021) Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging. Insurance: Mathematics and Economics 100, pages 408-428.
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Junkee Jeon & Minsuk Kwak. (2021) Pricing variable annuity with surrender guarantee. Journal of Computational and Applied Mathematics 393, pages 113508.
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Thorsten Moenig. (2021) Variable annuities: Market incompleteness and policyholder behavior. Insurance: Mathematics and Economics 99, pages 63-78.
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Andrea Molent. (2020) TAXATION OF A GMWB VARIABLE ANNUITY IN A STOCHASTIC INTEREST RATE MODEL. ASTIN Bulletin 50:3, pages 1001-1035.
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Justin Kirkby & Jean-Philippe Aguilar. (2022) Valuation and Optimal Surrender of Variable Annuities with Guaranteed Minimum Benefits and Periodic Fees. SSRN Electronic Journal.
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Laura Ballotta, Ernst Eberlein, Thorsten Schmidt & Raghid Zeineddine. (2019) Variable Annuities in a Lévy-Based Hybrid Model With Surrender Risk. SSRN Electronic Journal.
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Jennifer Alonso-Garcca, Oliver Wood & Jonathan Ziveyi. (2017) Pricing and Hedging Guaranteed Minimum Withdrawal Benefits under a General LLvy Framework Using the COS Method. SSRN Electronic Journal.
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