The effect of modelling parameters on the value of GMWB guarantees

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The Impact of Stochastic Volatility on Pricing, Hedging, and Hedge Efficiency of Withdrawal Benefit Guarantees in Variable Annuities (2011, background): “…on the pricing of guarantees embedded in insurance contracts has been analyzed by several authors, e.g. by Grosen and Jørgensen (2000), Steffens n (2002) and Bacinello (2003, 2005) and with focus on the optimal stopping time within the context of GMWB guarantees for example by Chen et al. (2008).”
An optimal stochastic control framework for determining the cost of hedging of variable annuities (2014, methodology): “…of this replicating portfolio is276 given in the derivations of our valuation equations which are provided in Appendices A and B (see277 also Chen et al. 2008 and Bélanger et al. 2009).278 The main contributions of this paper are as follows:279 • We formulate the task of determining the…”
Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB) (2012, methodology): “We can obtain an equation for the guarantee628 portion U by substituting V = U +W into equation (A.8).629 Chen et al. (2008) use a similar argument to value the guarantee portion of the GMWB using630 the impulse control formulation.631 Of course, the above arguments assume that the rate of…”