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20072026
most citedValuation of Variable Annuities with Guaranteed Minimum Withdrawal and Death Benefits via Stochastic Control Optimization

42 citations · 163 across the 14 of their papers we have counts for

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q-fin.PR2026

Deep Least Squares Monte Carlo methods for the valuation of variable annuities with guarantees

Nicolas Langrené, Xiaolin Luo, Pavel V. Shevchenko +1

In general, the pricing of variable annuities with guarantees can be done by solving the corresponding optimal stochastic control problem if the contract withdrawal strategy is ass…