42 citations · 163 across the 14 of their papers we have counts for
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q-fin.PR2016★ 23 cited
A unified pricing of variable annuity guarantees under the optimal stochastic control framework
Pavel V. Shevchenko, Xiaolin Luo
In this paper, we review pricing of variable annuity living and death guarantees offered to retail investors in many countries. Investors purchase these products to take advantage…
q-fin.PR2016
Valuation of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Stochastic Interest Rate
Pavel V. Shevchenko, Xiaolin Luo
A variable annuity contract with Guaranteed Minimum Withdrawal Benefit (GMWB) promises to return the entire initial investment through cash withdrawals during the contract plus the…