Keywords: سالانه متغیر; Variable annuities; Optimal surrender; GMMB; Stochastic volatility; Stochastic interest rates; Method of lines; Dynamic hedging;
مقالات ISI سالانه متغیر (ترجمه نشده)
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Keywords: سالانه متغیر; C63; G12; G22; Variable annuities; Path-dependent guarantee; Optimal surrender strategy; Free boundary problem; Mellin transform;
Keywords: سالانه متغیر; Variable annuities; Embedded guarantees; Move-based hedging; Laplace transform; Semi analytic algorithm; Maturity randomization;
Keywords: سالانه متغیر; Equity-linked death benefits; Minimum guaranteed death benefits; Life-contingent options; Piecewise constant forces of mortality; Variable annuities; Inflation-indexed death benefits; Guaranteed variable annuities;
Keywords: سالانه متغیر; G13; G22; G23; 91B25; 91B30; IE50; IB10; Guaranteed minimum death benefits; Variable annuities; Heath-Jarrow-Morton model; Schöbel and Zhu model; Stochastic volatility; Stochastic inflation; Stochastic interest rates;
Keywords: سالانه متغیر; G22; Effective hedging; Variable annuities; Semi-static hedging; Periodic fees; Embedded guarantees;
Keywords: سالانه متغیر; Variable annuities; Life insurance; Hawkes process; Self-exciting process; Jump process;
Keywords: سالانه متغیر; Variable annuities; State-dependent fee; Hyper-exponential jump diffusion process; Laplace transform; Refracted Lévy process;
Keywords: سالانه متغیر; Annuities; Variable annuities; Longevity insurance; Retirement planning; Mortality risk;
Keywords: سالانه متغیر; G13; Variable annuities; Laplace transforms; Partial differential equations; Guaranteed minimum death benefits; Closed form solutions;
Keywords: سالانه متغیر; Variable annuities; Optimal surrender; GMMB; GMSB;
Keywords: سالانه متغیر; G12; G13; Basis risk; Least-squares Monte Carlo; Liquidity risk; Periodic premia; Variable annuities;
Keywords: سالانه متغیر; G13; G22; C02; IM10; IE50; IM40; IB10; Equity-linked death benefits; Variable annuities; Jump diffusion; Exponential stopping; Barrier options;
Keywords: سالانه متغیر; Inflation; HJM; Variable annuities; Retirement; Derivatives; Investment;
VIX-linked fees for GMWBs via explicit solution simulation methods
Keywords: سالانه متغیر; Variable annuities; Stochastic differential equation; Explicit solution; Monte Carlo simulation; Heston model;
Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models
Keywords: سالانه متغیر; Variable annuities; GLWB pricing; Stochastic volatility; Stochastic interest rate; Optimal withdrawal;
Valuing equity-linked death benefits and other contingent options: A discounted density approach
Keywords: سالانه متغیر; G13; G22; C02; IM10; IE50; IM40; IB10; Equity-linked death benefits; Variable annuities; Minimum guaranteed death benefits; Exponential stopping; Option pricing; Discounted density;
Modeling investment guarantees in Japan: A risk-neutral GARCH approach
Keywords: سالانه متغیر; G17; G22; Esscher transform; Investment guarantees; Variable annuities;
Variable annuities: A unifying valuation approach
Keywords: سالانه متغیر; IB13; Variable annuities; Post-retirement income; Risk management; Guarantees; Least squares Monte Carlo;
Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives
Keywords: سالانه متغیر; G22; C50; Longevity risk; Risk-based capital; Static hedging; q-forwards; Longevity bonds; Life annuities; Variable annuities;
Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation
Keywords: سالانه متغیر; 91B30; 91B70; 65C20; 65C05; 60H35Quantile hedging; Variable annuities; GMDBs; Regime switching; Markov chain approximation
Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
Keywords: سالانه متغیر; Guaranteed annuity option (GAO); Guaranteed Minimum Income Benefit (GMIB); Stochastic volatility; Stochastic interest rates; Variable annuities;
Quantile hedging for guaranteed minimum death benefits
Keywords: سالانه متغیر; Quantile hedging; Variable annuities; GMDBs; Stochastic control;
The effect of modelling parameters on the value of GMWB guarantees
Keywords: سالانه متغیر; IM10; IE43; IB13; G22; Variable annuities; Pensions; GMWB guarantees;