The Impact of Stochastic Volatility on Pricing, Hedging, and Hedge Efficiency of Withdrawal Benefit Guarantees in Variable Annuities
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- Doan, Bao & Papageorgiou, Nicolas & Reeves, Jonathan J. & Sherris, Michael, 2018. "Portfolio management with targeted constant market volatility," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 134-147.
- Bauer Jan, 2020. "Hedging of Variable Annuities under Basis Risk," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 14(2), pages 1-34, July.
- Kirkby, J. Lars & Nguyen, Duy, 2021. "Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 408-428.
- Jin Sun & Pavel V. Shevchenko & Man Chung Fung, 2017. "A note on the impact of management fees on the pricing of variable annuity guarantees," Papers 1705.03787, arXiv.org, revised May 2017.
- Yaowen Lu & Duy-Minh Dang, 2023. "A semi-Lagrangian $\epsilon$-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate," Papers 2310.00606, arXiv.org.
- Huang, H. & Milevsky, M.A. & Salisbury, T.S., 2014.
"Optimal initiation of a GLWB in a variable annuity: No Arbitrage approach,"
Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 102-111.
- H. Huang & M. A. Milevsky & T. S. Salisbury, 2013. "Optimal initiation of a GLWB in a variable annuity: no arbitrage approach," Papers 1304.1821, arXiv.org.
- Liang Hong, 2018. "A Further Study of the Choice Between Two Hedging Strategies–the Continuous Case," Methodology and Computing in Applied Probability, Springer, vol. 20(4), pages 1189-1198, December.
- Ralph S.J. Koijen & Motohiro Yogo, 2022.
"The Fragility of Market Risk Insurance,"
Journal of Finance, American Finance Association, vol. 77(2), pages 815-862, April.
- Koijen, Ralph & Yogo, Motohiro, 2018. "The Fragility of Market Risk Insurance," CEPR Discussion Papers 12560, C.E.P.R. Discussion Papers.
- Ralph Koijen & Motohiro Yogo, 2022. "The Fragility of Market Risk Insurance," Working Papers 2022-3, Princeton University. Economics Department..
- Ralph Koijen & Motohiro Yogo, 2018. "The Fragility of Market Risk Insurance," NBER Working Papers 24182, National Bureau of Economic Research, Inc.
- Marcos Escobar & Mikhail Krayzler & Franz Ramsauer & David Saunders & Rudi Zagst, 2016. "Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs," Risks, MDPI, vol. 4(4), pages 1-36, November.
- Fung, Man Chung & Ignatieva, Katja & Sherris, Michael, 2014. "Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 103-115.
- Maciej Augustyniak & Mathieu Boudreault, 2017. "Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk," North American Actuarial Journal, Taylor & Francis Journals, vol. 21(4), pages 502-525, October.
- Alexander Bohnert, 2015. "The Impact of Guarantees on the Performance of Pension Saving Schemes: Insights from the Literature," Risks, MDPI, vol. 3(4), pages 1-28, November.
- Liang Hong, 2016. "On the choice between two delta-hedging strategies," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 39(1), pages 69-80, April.
- Bohnert, Alexander & Gatzert, Nadine & Jørgensen, Peter Løchte, 2015. "On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes," Insurance: Mathematics and Economics, Elsevier, vol. 60(C), pages 83-97.
- Bernard, Carole & Kwak, Minsuk, 2016. "Semi-static hedging of variable annuities," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 173-186.
- Forsyth, Peter & Vetzal, Kenneth, 2014. "An optimal stochastic control framework for determining the cost of hedging of variable annuities," Journal of Economic Dynamics and Control, Elsevier, vol. 44(C), pages 29-53.
- Jin Sun & Pavel V. Shevchenko & Man Chung Fung, 2018. "The Impact of Management Fees on the Pricing of Variable Annuity Guarantees," Risks, MDPI, vol. 6(3), pages 1-20, September.
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