Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals

By A. Bélanger, Peter A. Forsyth, George Labahn. 2009

48 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/2d3ab6d76010eeecfbae459978460ea001ceddf2

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. Kenneth R. Vetzal
2. Peter A. Forsyth
3. X. Lin
4. Guojun Gan

In Economics and Econometrics

1. Peter A. Forsyth
2. Kenneth R. Vetzal
3. X. Lin
4. Guojun Gan
5. Alexander Schied
6. Steven Kou

In Finance

1. Peter A. Forsyth
2. Kenneth R. Vetzal
3. X. Lin
4. Guojun Gan
5. Jari Toivanen
6. Samuli Ikonen
7. S. Clift
8. George Labahn

Citations in the corpus

• Valuation of large variable annuity portfolios under nested simulation: A functional data approach (2015, background): “Bélanger et al. (2009) proposed amethod to compute the fair insurance fee of the GMDB rider under partial withdrawals.”
• An optimal stochastic control framework for determining the cost of hedging of variable annuities (2014, methodology): “In the context of pricing 213 standard options, such models are discussed in sources such as Naik (1993), Bollen (1998), Duan 214 et al. (2002), Yuen and Yang (2009), and Shen et al.”