GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES

By Min Dai, Yue Kuen Kwok, Jianping Zong. 2008

206 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e96094e0f46d1a8f00f994ea25d94244dd425883

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. Y. Huang
4. George Labahn
5. A. Bélanger
6. Lukasz Delong
7. Z. Chen

In Economics and Econometrics

1. Peter A. Forsyth
2. Kenneth R. Vetzal
3. Y. Huang
4. Z. Chen
5. George Labahn
6. A. Bélanger
7. Lukasz Delong
8. Alexander Schied

In Finance

1. Peter A. Forsyth
2. Kenneth R. Vetzal
3. George Labahn
4. Y. Huang
5. A. Bélanger
6. Z. Chen
7. Lukasz Delong
8. Jari Toivanen

Citations in the corpus

• Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB) (2012, methodology): “(3.8) Therefore as in Dai et al. (2008), we impose the following condition at Wmax153 V (Wmax, A, τ) = e−ητWmax , (W,A, τ) ∈ ΩWmax .”
• Optimal retirement income tontines (2015, unknown): “(11) D n,γ (p) 1−γ 1− γ pθn,γ(p) = D n,γ (p) 1− γ D n,γ (p) pθn,γ(p) = D n,γ (p) 1− γ D n,γ (1) −γ”
• An optimal stochastic control framework for determining the cost of hedging of variable annuities (2014, methodology): “Dai et al. (2008) model the GMWB pricing problem142 as a singular stochastic control problem in the GBM setting and provide an efficient numerical143 PDE approach for solving the problem.”
• The effect of modelling parameters on the value of GMWB guarantees (2008, methodology): “The no-arbitrage insurance fee αg (recall αtot = αg + αm) is determined so that the contract value V at τ = T is equal to the initial premium W0 paid by the investor (Milevsky and Salisbury, 2006; Dai et al., 2007; Cramer et al., 2007).”
• Numerical Methods for Nonlinear PDEs in Finance (2012, methodology): “(19) If we let the maximum possible withdrawal rate λ → ∞ (withdrawing instantaneously a finite amount), then we obtain the singular control problem [13]”
• Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals (2009, background): “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): “…given stock, beyond the control of the insurer, and assume that bonuses and guarantees are contingent on the performance of that stock; see for example Bacinello (2001), Bauer et al. (2005), Dai et al. (2008), Huang et al. (2009), Milevsky and Posner (2001) and Milevsky and Salisbury (2006).”
• Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance (2007, background): “However, singular controls can be formulated as a penalized problem [19].”