44 citations · 122 across the 13 of their papers we have counts for
6 papers · 1 filter
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…
Fair Pricing of Variable Annuities with Guarantees under the Benchmark Approach
Jin Sun, Kevin Fergusson, Eckhard Platen +1
In this paper we consider the pricing of variable annuities (VAs) with guaranteed minimum withdrawal benefits. We consider two pricing approaches, the classical risk-neutral approa…
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…
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…
Variable Annuity with GMWB: surrender or not, that is the question
Xiaolin Luo, Pavel Shevchenko
Under the optimal withdrawal strategy of a policyholder, the pricing of variable annuities with Guaranteed Minimum Withdrawal Benefit (GMWB) is an optimal stochastic control proble…
Fast Numerical Method for Pricing of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Optimal Withdrawal Strategy
Xiaolin Luo, Pavel Shevchenko
A variable annuity contract with Guaranteed Minimum Withdrawal Benefit (GMWB) promises to return the entire initial investment through cash withdrawals during the policy life plus…