Variable Annuities: A Unifying Valuation Approach

By Anna Rita Bacinello, Pietro Millossovich, A. Olivieri, E. Pitacco. 2011

199 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/17114bf2748049e09da648529e0294d1adcd5fe3

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Hailiang Yang
2. Hans U. Gerber
3. E. Shiu
4. Kenneth R. Vetzal
5. X. Lin
6. Guojun Gan
7. Peter A. Forsyth
8. Yan Zeng

In Economics and Econometrics

1. Peter A. Forsyth
2. Kenneth R. Vetzal
3. Hailiang Yang
4. X. Lin
5. Hans U. Gerber
6. Guojun Gan
7. E. Shiu
8. Alexander Schied

In Finance

1. Peter A. Forsyth
2. Kenneth R. Vetzal
3. Hailiang Yang
4. E. Shiu
5. Hans U. Gerber
6. X. Lin
7. Guojun Gan
8. Xiaowen Zhou

Citations in the corpus

• Valuing equity-linked death benefits and other contingent options: A discounted density approach (2012, background): “A recent paper on variable annuities is Bacinello et al. (2011).”
• Valuation of large variable annuity portfolios under nested simulation: A functional data approach (2015, methodology): “Bacinello et al. (2011) proposed a unifying framework to price various types of guarantees. Gao and Ulm (2012) used a utility-based approach to study the valuation of the GMDB rider. Kolkiewicz and Liu (2012) proposed a method to hedge the GMWB rider by constructing a portfolio of traded European op”
• An optimal stochastic control framework for determining the cost of hedging of variable annuities (2014, background): “Bacinello et al. (2011) consider a variety of VA194 embedded options in a setting with stochastic interest rates and stochastic volatility.”