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q-fin.PM2025
Variable annuities: A closer look at ratchet guarantees, hybrid contract designs, and taxation
Jennifer Alonso-Garcia, Len Patrick Dominic M. Garces, Jonathan Ziveyi
This paper investigates optimal withdrawal strategies and behavior of policyholders in a variable annuity (VA) contract with a guaranteed minimum withdrawal benefit (GMWB) rider in…
q-fin.PM2024
Robust optimal investment and consumption strategies with portfolio constraints and stochastic environment
Len Patrick Dominic M. Garces, Yang Shen
We investigate a continuous-time investment-consumption problem with model uncertainty in a general diffusion-based market with random model coefficients. We assume that a power ut…