15 citations · 15 across the 4 of their papers we have counts for
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q-fin.PR2014
GMWB Riders in a Binomial Framework - Pricing, Hedging, and Diversification of Mortality Risk
Cody B. Hyndman, Menachem Wenger
We construct a binomial model for a guaranteed minimum withdrawal benefit (GMWB) rider to a variable annuity (VA) under optimal policyholder behaviour. The binomial model results i…
q-fin.PR2013★ 15 cited
Valuation Perspectives and Decompositions for Variable Annuities with GMWB riders
Cody B. Hyndman, Menachem Wenger
The guaranteed minimum withdrawal benefit (GMWB) rider, as an add on to a variable annuity (VA), guarantees the return of premiums in the form of peri- odic withdrawals while allow…