A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
By Daniel Bauer, Alexander Kling, Jochen Russ. 2008
331 citations recorded by the source corpus.
Subfields: Demography, Economics and Econometrics, General Health Professions
View Paper: https://www.semanticscholar.org/paper/8229fab0ea14b1f02518082fcb55baa36e031cce
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Demography
- Peter A. Forsyth
- Kenneth R. Vetzal
- X. Lin
- Guojun Gan
- Y. Huang
- Frederik Ruez
- Alexander Kling
- Jochen Russ
In Economics and Econometrics
In General Health Professions
- Peter A. Forsyth
- Kenneth R. Vetzal
- X. Lin
- Y. Huang
- Guojun Gan
- Frederik Ruez
- Alexander Kling
- Jochen Russ
Citations in the corpus
- Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives (2011, background): “2 Variable Annuity Cash Flows Cash flows, including withdrawals and fees, for the variable annuity with the GLWB are based on US products and pricing analyses for variable annuity guarantees (Bauer et al, 2006 [1]; Holz et al, 2007 [27] and Hill et al (2008) [25]).”
- Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals (2009, background): “Bauer et al. (2008) give a solution to the GMDB problem allowing optimal withdrawal at discrete instances under a constant volatility Brownian motion pricing model.”
- The effect of modelling parameters on the value of GMWB guarantees (2008, background): “This fee separation is important in practice, and does not appear to have been taken into account in previous work (e.g. Milevsky and Salisbury, 2006; Dai et al., 2007; Bauer et al., 2006).”
- Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB) (2012, methodology): “Methods for cases where withdrawals are only allowed at32 discrete times are given in Bauer et al. (2008) and Chen et al. (2008).”
- Analytical Calculation of Risk Measures for Variable Annuity Guaranteed Benefits (2012, background): “However, the work can be easily extended with the combination of both riders.”
- An optimal stochastic control framework for determining the cost of hedging of variable annuities (2014, methodology): “As noted by Bauer et al. (2008), these features can be divided 40 into two broad types: guaranteed minimum death benefits (GMDBs) and guaranteed minimum 41 living benefits (GMLBs). GMDBs provide a payout at least equal to the original amount invested 42 (or this amount grossed up by a guaranteed min”
- Valuation of large variable annuity portfolios under nested simulation: A functional data approach (2015, methodology): “How to hedge and manage the risks of a large VA portfolio and how to determine required capitals are a real challenge to insurance companies (Bauer et al., 2012). Research up to date on valuation, hedging, and risk management of VA guarantees largely focuses on individual VA contracts. Milevsky andP”
- The Impact of Stochastic Volatility on Pricing, Hedging, and Hedge Efficiency of Withdrawal Benefit Guarantees in Variable Annuities (2011, methodology): “…hence we set Gt t τξ ≥∀= ,0 , where Gτ represents a F-stopping time indicating the policy anniversary at which theguarantee of the GLWB rider triggers, i.e. 2 For details on partial surrender, we refer the reader to Bauer et al. (2008). the smallest =1,…,T for which −− > t guar t AVW holds.”