Financial valuation of guaranteed minimum withdrawal benefits

By M. Milevsky, Thomas S. Salisbury. 2006

261 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/74d365533abc3b5e3a6aad53fa13093b637713c9

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Citations in the corpus

The Impact of Stochastic Volatility on Pricing, Hedging, and Hedge Efficiency of Withdrawal Benefit Guarantees in Variable Annuities (2011, background): “Several authors (cf. e.g. Milevsky and Salisbury (2006) or Bauer et al. (2008)) come to the conclusion that insurers assume "suboptimal" (i.e. financially irrational) policyholder behavior when pricing the guarantees.”
Analytical Calculation of Risk Measures for Variable Annuity Guaranteed Benefits (2012, background): “[11], Milevsky and Salisbury [12],Ng and Li [13], Plat and Pelsser [19], Wang [29], etc.”
An optimal stochastic control framework for determining the cost of hedging of variable annuities (2014, methodology): “467 The framework we adopt is basically the same as that originally proposed in the equity option 468 valuation context by Naik (1993), and used more recently in sources such as Yuen and Yang (2009) 469 and Shen et al. (2013). The set of possible regimes is K = {1, 2, .”
A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities (2008, background): “However, Milevsky and Salisbury (2006) find that these guarantees are substantially underpriced.”
The effect of modelling parameters on the value of GMWB guarantees (2008, methodology): “However, once the DC plan holder retires, and begins to withdraw funds from the plan, the holder is also exposed to the risk from the ∗David R. Cheriton School of Computer Science, University of Waterloo, Waterloo ON, Canada N2L 3G1 e-mail: z4chen@uwaterloo.ca †School of Accounting and Finance, Univ”
Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB) (2012, methodology): “The solution is also used to determine a hedging106 strategy for the contract (Milevsky and Salisbury, 2006; Bauer et al., 2008; Chen et al., 2008; Gilbert107 et al., 2007; Fenton and Czernicki, 2010).”
GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES (2008, unknown): “Milevsky and Salisbury (2006) develop the pricing model of variable annuities with GMWB under both static and dynamic withdrawal policies.”
Numerical Methods for Nonlinear PDEs in Finance (2012, background): “Guaranteed Minimum Withdrawal Benefit (GMWB) variable annuities are discussed at length in [22, 13, 11].”
Valuation of large variable annuity portfolios under nested simulation: A functional data approach (2015, background): “Milevsky and Salisbury (2006) studied the impact of policyholder behavior on the cost and value of the GMWB rider and argued that the current pricing is not sustainable.”
Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals (2009, methodology): “Specific examples of variable annuity contracts include guaranteed minimum income benefits, guaranteed minimum withdrawal benefits (Chen and Forsyth, 2007; Dai et al., 2008; Milevsky and Salisbury, 2006) and guaranteed minimum death benefits.”
Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance (2010, background): “We remark that for such a retirement product the withdrawal rate γ is usually low (see Milevsky and Posner (2001) and Milevsky and Salisbury (2006)).”
Pricing Annuity Guarantees Under a Regime-Switching Model (2009, methodology): “Milevsky and Posner (2001) and Milevsky and Salisbury (2006) priced various variable annuities using the geometric Brownian motion asset model and constant interest rate.”