19 citations · 39 across the 14 of their papers we have counts for
5 papers · 1 filter
Valuation of GLWB-LTC Annuities with Lévy Equity Dynamics, Stochastic Interest Rates and Health-State Transitions
Andrea Molent
This paper develops a valuation framework for guaranteed lifetime withdrawal benefit (GLWB) contracts with long-term care (LTC) features when the reference fund follows exponential…
Robust Pricing of Equity-Indexed Annuities under Uncertain Volatility and Stochastic Interest Rate
Ludovic Goudenège, Andrea Molent, Antonino Zanette
In this paper, we propose a novel methodology for pricing equity-indexed annuities featuring cliquet-style payoff structures and early surrender risk, using advanced financial mode…
Enhancing Valuation of Variable Annuities in Lévy Models with Stochastic Interest Rate
Ludovic Goudenège, Andrea Molent, Xiao Wei +1
This paper extends the valuation and optimal surrender framework for variable annuities with guaranteed minimum benefits in a Lévy equity market environment by incorporating a stoc…
Pricing and Hedging GMWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models
Ludovic Goudenège, Andrea Molent, Antonino Zanette
Valuing Guaranteed Minimum Withdrawal Benefit (GMWB) has attracted significant attention from both the academic field and real world financial markets. As remarked by Yang and Dai,…
Pricing and Hedging GLWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models
Ludovic Goudenege, Andrea Molent, Antonino Zanette
Valuing Guaranteed Lifelong Withdrawal Benefit (GLWB) has attracted significant attention from both the academic field and real world financial markets. As remarked by Forsyth and…