1. Innovative combo product design embedding variable annuity and long-term care insurance contracts. (2025). Shen, Yang ; Sherris, Michael ; Wang, Yawei ; Ziveyi, Jonathan.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:121:y:2025:i:c:p:79-99.

   Full description at Econpapers || Download paper

1. Azimzadeh, P. ; Forsyth, P.A. The existence of optimal bang-bang controls for GMxB contracts. 2015 SIAM J. Financ. Math.. 6 117-139

2. Bacinello, A.R. ; Maggistro, R. ; Zoccolan, I. Risk-neutral valuation of GLWB riders in variable annuities. 2024 Insur. Math. Econ.. 114 1-14

3. Bacinello, A.R. ; Millossovich, P. ; Olivieri, A. ; Pitacco, E. Variable annuities: a unifying valuation approach. 2011 Insur. Math. Econ.. 49 285-297

4. Bauer, D. ; Kling, A. ; Russ, J. A universal pricing framework for guaranteed minimum benefits in variable annuities 1. 2008 ASTIN Bull.. 38 621-651

5. Becker, U. ; Reinhard, H.-J. Long-Term Care in Europe. 2018 Springer: Cham, Switzerland
   Paper not yet in RePEc: Add citation now
   

6. Bernard, C. ; Cui, Z. ; Vanduffel, S. Impact of flexible periodic premiums on variable annuity guarantees. 2017 N. Am. Actuar. J.. 21 63-86

7. Blake, D. ; Cairns, A. ; Dowd, K. ; MacMinn, R. Longevity bonds: financial engineering, valuation, and hedging. 2006 J. Risk Insur.. 73 647-672

8. Brown, J. ; Warshawsky, M. The life care annuity: a new empirical examination of an insurance innovation that addresses problems in the markets for life annuities and long-term care insurance. 2013 J. Risk Insur.. 80 677-704

9. Chen, A. ; Li, H. ; Schultze, M. Collective longevity swap: a novel longevity risk transfer solution and its economic pricing. 2022 J. Econ. Behav. Organ.. 201 227-249

10. Chen, A. ; Rach, M. Actuarial fairness and social welfare in mixed-cohort tontines. 2023 Insur. Math. Econ.. 111 214-229

11. Chen, Z. ; Ho, M. ; Chau, P.H. Handgrip strength asymmetry is associated with the risk of neurodegenerative disorders among Chinese older adults. 2022 J. Cachexia Sarcopenia Muscle. 13 1013-1023
    Paper not yet in RePEc: Add citation now
    

12. Chi, Y. ; Lin, X.S. Are flexible premium variable annuities under-priced?. 2012 ASTIN Bull.. 42 559-574

13. Coleman, T.F. ; Li, Y. ; Patron, M.-C. Hedging guarantees in variable annuities under both equity and interest rate risks. 2006 Insur. Math. Econ.. 38 215-228

14. Cui, Z. ; Feng, R. ; MacKay, A. Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model. 2017 N. Am. Actuar. J.. 21 458-483

15. Cui, Z. ; Kirkby, J.L. ; Nguyen, D. Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps. 2017 Insur. Math. Econ.. 74 46-62

16. Dai, M. ; Kuen Kwok, Y. ; Zong, J. Guaranteed minimum withdrawal benefit in variable annuities. 2008 Math. Finance. 18 595-611

17. Dunlop, D.D. ; Hughes, S.L. ; Manheim, L.M. Disability in activities of daily living: patterns of change and a hierarchy of disability. 1997 Am. J. Publ. Health. 87 378-383

18. Ferri, S. ; Olivieri, A. Technical bases for LTC covers including mortality and disability projections. 2000 En : Proceedings of the 31st ASTIN Colloquium. :
    Paper not yet in RePEc: Add citation now
    
19. Folland, G.B. Real Analysis: Modern Techniques and Their Applications, vol. 40. 1999 John Wiley & Sons:
    Paper not yet in RePEc: Add citation now
    

20. Fong, J.H. ; Shao, A.W. ; Sherris, M. Multistate actuarial models of functional disability. 2015 N. Am. Actuar. J.. 19 41-59

21. Fontana, C. ; Rotondi, F. Valuation of general GMWB annuities in a low interest rate environment. 2023 Insur. Math. Econ.. 112 142-167

22. Forsyth, P. ; Vetzal, K. An optimal stochastic control framework for determining the cost of hedging of variable annuities. 2014 J. Econ. Dyn. Control. 44 29-53

23. Gao, J. ; Ulm, E.R. Optimal allocation and consumption with guaranteed minimum death benefits, external income and term life insurance. 2015 Insur. Math. Econ.. 61 87-98

24. Gong, G. ; Webb, A. Evaluating the advanced life deferred annuity—an annuity people might actually buy. 2010 Insur. Math. Econ.. 46 210-221

25. Goudenege, L. ; Molent, A. ; Zanette, A. Pricing and hedging GLWB in the Heston and in the Black–Scholes with stochastic interest rate models. 2016 Insur. Math. Econ.. 70 38-57
    Paper not yet in RePEc: Add citation now
    

26. Günther, S. ; Hieber, P. Analyzing the interest rate risk of equity-indexed annuities via scenario matrices. 2024 Insur. Math. Econ.. 114 15-28

27. Hanewald, K. ; Li, H. ; Shao, A.W. Modelling multi-state health transitions in China: a generalised linear model with time trends. 2019 Ann. Actuar. Sci.. 13 145-165

28. Hardy, M. Investment Guarantees: Modeling and Risk Management for Equity-Linked Life Insurance, vol. 168. 2003 John Wiley & Sons:
    Paper not yet in RePEc: Add citation now
    

29. Heider, F. ; Saidi, F. ; Schepens, G. Banks and negative interest rates. 2021 Annu. Rev. Financ. Econ.. 13 201-218

30. Hsieh, M.-h. ; Wang, J.L. ; Chiu, Y.-F. ; Chen, Y.-C. Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach. 2018 Insur. Math. Econ.. 78 246-254

31. Huang, Y.T. ; Kwok, Y.K. Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees. 2016 Quant. Finance. 16 905-928

32. Huang, Y.T. ; Zeng, P. ; Kwok, Y.K. Optimal initiation of guaranteed lifelong withdrawal benefit with dynamic withdrawals. 2017 SIAM J. Financ. Math.. 8 804-840
    Paper not yet in RePEc: Add citation now
    

33. Ignatieva, K. ; Song, A. ; Ziveyi, J. Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality. 2016 Insur. Math. Econ.. 70 286-300

34. Kang, B. ; Shen, Y. ; Zhu, D. ; Ziveyi, J. Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method. 2022 Insur. Math. Econ.. 105 96-127

35. Kang, B. ; Ziveyi, J. Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates. 2018 Insur. Math. Econ.. 79 43-56

36. Kouritzin, M.A. ; MacKay, A. VIX-linked fees for GMWBs via explicit solution simulation methods. 2018 Insur. Math. Econ.. 81 1-17

37. Levantesi, S. ; Menzietti, M. Managing longevity and disability risks in life annuities with long term care. 2012 Insur. Math. Econ.. 50 391-401

38. Luo, X. ; Shevchenko, P.V. Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization. 2015 Insur. Math. Econ.. 62 5-15

39. MacKay, A. ; Vachon, M.-C. ; Cui, Z. Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation. 2023 Quant. Finance. 23 1055-1078

40. Milevsky, M.A. ; Salisbury, T.S. Optimal retirement income tontines. 2015 Insur. Math. Econ.. 64 91-105

41. Mosca, I. ; Van Der Wees, P.J. ; Mot, E.S. ; Wammes, J.J. ; Jeurissen, P.P. Sustainability of long-term care: puzzling tasks ahead for policy-makers. 2017 Int. J. Health Policy Manage.. 6 195-
    Paper not yet in RePEc: Add citation now
    
42. Murtaugh, C.M. ; Spillman, B.C. ; Warshawsky, M.J. In sickness and in health: an annuity approach to financing long-term care and retirement income. 2001 J. Risk Insur.. 68 225-253
    Paper not yet in RePEc: Add citation now
    
43. Phillips, D. ; Green, H. ; Petrosyan, S. ; Shao, K. ; Wilkens, J. ; Lee, J. Harmonized charls documentation. 2021 USC Dornsife Center for Economic and Social Research, Los Angeles:
    Paper not yet in RePEc: Add citation now
    

44. Pritchard, D. Modeling disability in long-term care insurance. 2006 N. Am. Actuar. J.. 10 48-75

45. Rhee, J.C. ; Done, N. ; Anderson, G.F. Considering long-term care insurance for middle-income countries: comparing South Korea with Japan and Germany. 2015 Health Policy. 119 1319-1329

46. Shao, A.W. ; Chen, H. ; Sherris, M. To borrow or insure? Long term care costs and the impact of housing. 2019 Insur. Math. Econ.. 85 15-34

47. Shao, A.W. ; Sherris, M. ; Fong, J.H. Product pricing and solvency capital requirements for long-term care insurance. 2017 Scand. Actuar. J.. 2 175-208

48. Shevchenko, P.V. ; Luo, X. Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate. 2017 Insur. Math. Econ.. 76 104-117

49. Ventura-Marco, M. ; Vidal-Meliá, C. ; González, J.M.P.-S. Joint life care annuities to help retired couples to finance the cost of long-term care. 2023 Insur. Math. Econ.. 113 122-139

50. Webb, D.C. Asymmetric information, long-term care insurance, and annuities: the case for bundled contracts. 2009 J. Risk Insur.. 76 53-85

51. Zhao, Y. ; Strauss, J. ; Chen, X. ; Wang, Y. ; Gong, J. ; Meng, Q. ; Wang, G. ; Wang, H. ; Zhang, P. ; Zhang, Y. Cohort profile: the China health and retirement longitudinal study (charls). 2014 Int. J. Epidemiol.. 43 61-68
    Paper not yet in RePEc: Add citation now
    

1. Innovative combo product design embedding variable annuity and long-term care insurance contracts. (2025). Shen, Yang ; Sherris, Michael ; Wang, Yawei ; Ziveyi, Jonathan.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:121:y:2025:i:c:p:79-99.

   Full description at Econpapers || Download paper

2. Valuation of guaranteed lifelong withdrawal benefit with the long-term care option. (2024). Chen, Shaoying ; Yang, Yang ; Zhang, Zhimin ; Cui, Zhenyu.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:119:y:2024:i:c:p:179-193.

   Full description at Econpapers || Download paper

3. Risk-neutral valuation of GLWB riders in variable annuities. (2024). Maggistro, Rosario ; Zoccolan, Ivan ; Bacinello, Anna Rita.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:114:y:2024:i:c:p:1-14.

   Full description at Econpapers || Download paper

4. Valuation of general GMWB annuities in a low interest rate environment. (2023). Rotondi, Francesco ; Fontana, Claudio.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:112:y:2023:i:c:p:142-167.

   Full description at Econpapers || Download paper

5. A semi-Lagrangian $\epsilon$-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate. (2023). Lu, Yaowen ; Dang, Duy-Minh.
   In: Papers.
   RePEc:arx:papers:2310.00606.

   Full description at Econpapers || Download paper

6. Valuation of general GMWB annuities in a low interest rate environment. (2023). Rotondi, Francesco ; Fontana, Claudio.
   In: Papers.
   RePEc:arx:papers:2208.10183.

   Full description at Econpapers || Download paper

7. Out-of-Model Adjustments of Variable Annuities. (2022). Shen, Zhiyi.
   In: Papers.
   RePEc:arx:papers:2208.12838.

   Full description at Econpapers || Download paper

8. Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging. (2021). Kirkby, Lars J ; Nguyen, Duy.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:100:y:2021:i:c:p:408-428.

   Full description at Econpapers || Download paper

9. Risk management of guaranteed minimum maturity benefits under stochastic mortality and regime-switching by Fourier space time-stepping framework. (2020). Hu, Wenlong.
   In: Papers.
   RePEc:arx:papers:2006.15483.

   Full description at Econpapers || Download paper

10. Pricing and hedging GMWB in the Heston and in the Black–Scholes with stochastic interest rate models. (2019). Goudenege, Ludovic ; Zanette, Antonino ; Molent, Andrea.
    In: Computational Management Science.
    RePEc:spr:comgts:v:16:y:2019:i:1:d:10.1007_s10287-018-0304-2.

    Full description at Econpapers || Download paper

11. Gaussian Process Regression for Pricing Variable Annuities with Stochastic Volatility and Interest Rate. (2019). Goudenege, Ludovic ; Zanette, Antonino ; Molent, Andrea.
    In: Papers.
    RePEc:arx:papers:1903.00369.

    Full description at Econpapers || Download paper

12. A Backward Simulation Method for Stochastic Optimal Control Problems. (2019). Shen, Zhiyi ; Weng, Chengguo.
    In: Papers.
    RePEc:arx:papers:1901.06715.

    Full description at Econpapers || Download paper

13. The Impact of Management Fees on the Pricing of Variable Annuity Guarantees. (2018). Shevchenko, Pavel V ; Fung, Man Chung ; Sun, Jin.
    In: Risks.
    RePEc:gam:jrisks:v:6:y:2018:i:3:p:103-:d:170856.

    Full description at Econpapers || Download paper

14. Valuation of variable long-term care Annuities with Guaranteed Lifetime Withdrawal Benefits: A variance reduction approach. (2018). Chiu, Yu-Fen ; Chen, Yen-Chih ; Hsieh, Ming-Hua ; Wang, Jennifer L.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:78:y:2018:i:c:p:246-254.

    Full description at Econpapers || Download paper

15. Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk. (2017). Boudreault, Mathieu ; Augustyniak, Maciej.
    In: North American Actuarial Journal.
    RePEc:taf:uaajxx:v:21:y:2017:i:4:p:502-525.

    Full description at Econpapers || Download paper

16. Evaluation of variable annuity guarantees with the effect of jumps in the asset price process. (2017). Chin, Seong Tah ; Juma, Mussa ; Lee, Min Cherng ; Liew, Kian Wah ; McMillan, David.
    In: Cogent Economics & Finance.
    RePEc:taf:oaefxx:v:5:y:2017:i:1:p:1326218.

    Full description at Econpapers || Download paper

17. Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit under stochastic interest rate. (2017). Luo, Xiaolin ; Shevchenko, Pavel V.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:76:y:2017:i:c:p:104-117.

    Full description at Econpapers || Download paper

18. Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference. (2017). Morales, Marco ; Blake, David ; Lin, Yijia ; Shi, Tianxiang ; Arik, Aye.
    In: Journal of Risk & Insurance.
    RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:367-392.

    Full description at Econpapers || Download paper

19. Pricing and Hedging Variable Annuities in a Lévy Market: A Risk Management Perspective. (2017). Quittard-Pinon, Franois ; Kelani, Abdou.
    In: Journal of Risk & Insurance.
    RePEc:bla:jrinsu:v:84:y:2017:i:1:p:209-238.

    Full description at Econpapers || Download paper

20. Valuation of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Stochastic Interest Rate. (2017). Luo, Xiaolin ; Shevchenko, Pavel V.
    In: Papers.
    RePEc:arx:papers:1602.03238.

    Full description at Econpapers || Download paper

21. Weakly chained matrices, policy iteration, and impulse control. (2017). Forsyth, Peter A ; Azimzadeh, Parsiad.
    In: Papers.
    RePEc:arx:papers:1510.03928.

    Full description at Econpapers || Download paper

22. Valuation of capital protection options. (2017). Luo, Xiaolin ; Shevchenko, Pavel V.
    In: Papers.
    RePEc:arx:papers:1508.00668.

    Full description at Econpapers || Download paper

23. Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees. (2016). Kwok, Yue Kuen ; Huang, Yao Tung .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:16:y:2016:i:6:p:905-928.

    Full description at Econpapers || Download paper

24. Minimum return guarantees, investment caps, and investment flexibility. (2016). Schneider, Judith C ; Mahayni, Antje.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:19:y:2016:i:2:d:10.1007_s11147-015-9116-5.

    Full description at Econpapers || Download paper

25. Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs. (2016). Escobar Anel, Marcos ; Zagst, Rudi ; Krayzler, Mikhail ; Ramsauer, Franz ; Saunders, David.
    In: Risks.
    RePEc:gam:jrisks:v:4:y:2016:i:4:p:41-:d:82367.

    Full description at Econpapers || Download paper

26. A Unified Pricing of Variable Annuity Guarantees under the Optimal Stochastic Control Framework. (2016). Luo, Xiaolin ; Shevchenko, Pavel V.
    In: Risks.
    RePEc:gam:jrisks:v:4:y:2016:i:3:p:22-:d:73342.

    Full description at Econpapers || Download paper

27. Pricing and hedging GLWB in the Heston and in the Black–Scholes with stochastic interest rate models. (2016). Goudenege, Ludovic ; Zanette, Antonino ; Molent, Andrea.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:70:y:2016:i:c:p:38-57.

    Full description at Econpapers || Download paper

28. Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality. (2016). Ignatieva, Katja ; Ziveyi, Jonathan ; Song, Andrew.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:70:y:2016:i:c:p:286-300.

    Full description at Econpapers || Download paper

29. A neural network approach to efficient valuation of large portfolios of variable annuities. (2016). Hejazi, Seyed Amir ; Jackson, Kenneth R.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:70:y:2016:i:c:p:169-181.

    Full description at Econpapers || Download paper

30. Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality. (2016). Lu, YI ; Liang, Xiaoqing ; Tsai, Cary Chi-Liang.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:70:y:2016:i:c:p:150-161.

    Full description at Econpapers || Download paper

31. Valuing inflation-linked death benefits under a stochastic volatility framework. (2016). Liang, Zongxia ; Sheng, Wenlong.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:69:y:2016:i:c:p:45-58.

    Full description at Econpapers || Download paper

32. Statistical emulators for pricing and hedging longevity risk products. (2016). Ludkovski, M ; Risk, J.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:68:y:2016:i:c:p:45-60.

    Full description at Econpapers || Download paper

33. Statutory financial reporting for variable annuity guaranteed death benefits: Market practice, mathematical modeling and computation. (2016). Feng, Runhuan ; Huang, Huaxiong.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:67:y:2016:i:c:p:54-64.

    Full description at Econpapers || Download paper

34. Semi-static hedging of variable annuities. (2016). Kwak, Minsuk ; Bernard, Carole.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:67:y:2016:i:c:p:173-186.

    Full description at Econpapers || Download paper

35. A Neural Network Approach to Efficient Valuation of Large Portfolios of Variable Annuities. (2016). Hejazi, Seyed Amir ; Jackson, Kenneth R.
    In: Papers.
    RePEc:arx:papers:1606.07831.

    Full description at Econpapers || Download paper

36. A unified pricing of variable annuity guarantees under the optimal stochastic control framework. (2016). Luo, Xiaolin ; Shevchenko, Pavel V.
    In: Papers.
    RePEc:arx:papers:1605.00339.

    Full description at Econpapers || Download paper

37. Pricing and Hedging GMWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models. (2016). Goudenege, Ludovic ; Zanette, Antonino ; Molent, Andrea.
    In: Papers.
    RePEc:arx:papers:1602.09078.

    Full description at Econpapers || Download paper

38. GMWB Riders in a Binomial Framework - Pricing, Hedging, and Diversification of Mortality Risk. (2016). Wenger, Menachem ; Hyndman, Cody B..
    In: Papers.
    RePEc:arx:papers:1410.7453.

    Full description at Econpapers || Download paper

39. MAX–MIN OPTIMIZATION PROBLEM FOR VARIABLE ANNUITIES PRICING. (2015). Lim, Thomas ; Kharroubi, Idris ; Chevalier, Etienne ; Blanchet-Scalliet, Christophette.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:18:y:2015:i:08:n:s0219024915500533.

    Full description at Econpapers || Download paper

40. Comonotonic Approximations of Risk Measures for Variable Annuity Guaranteed Benefits with Dynamic Policyholder Behavior. (2015). Dhaene, Jan ; Jing, Xiaochen ; Feng, Runhuan.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20150008.

    Full description at Econpapers || Download paper

41. Geometric stopping of a random walk and its applications to valuing equity-linked death benefits. (2015). Gerber, Hans U ; Yang, Hailiang.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:64:y:2015:i:c:p:313-325.

    Full description at Econpapers || Download paper

42. Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits. (2015). Mitchell, Olivia ; Steinorth, Petra.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:64:y:2015:i:c:p:246-258.

    Full description at Econpapers || Download paper

43. Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization. (2015). Luo, Xiaolin ; Shevchenko, Pavel V..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:62:y:2015:i:c:p:5-15.

    Full description at Econpapers || Download paper

44. Valuation of large variable annuity portfolios under nested simulation: A functional data approach. (2015). Lin, Sheldon X. ; Gan, Guojun.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:62:y:2015:i:c:p:138-150.

    Full description at Econpapers || Download paper

45. The time of deducting fees for variable annuities under the state-dependent fee structure. (2015). Wu, Lan ; Zhou, Jiang.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:61:y:2015:i:c:p:125-134.

    Full description at Econpapers || Download paper

46. Pricing and Hedging GLWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models. (2015). Goudenege, Ludovic ; Zanette, Antonino ; Molent, Andrea.
    In: Papers.
    RePEc:arx:papers:1509.02686.

    Full description at Econpapers || Download paper

47. Variable Annuity with GMWB: surrender or not, that is the question. (2015). Luo, Xiaolin ; Shevchenko, Pavel.
    In: Papers.
    RePEc:arx:papers:1507.08738.

    Full description at Econpapers || Download paper

48. The existence of optimal bang-bang controls for GMxB contracts. (2015). Forsyth, Peter A. ; Azimzadeh, Parsiad.
    In: Papers.
    RePEc:arx:papers:1502.05743.

    Full description at Econpapers || Download paper

49. Pricing and hedging of variable annuities with state-dependent fees. (2014). Delong, Łukasz.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:58:y:2014:i:c:p:24-33.

    Full description at Econpapers || Download paper

50. Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities. (2014). Sherris, Michael ; Fung, Man Chung ; Ignatieva, Katja.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:58:y:2014:i:c:p:103-115.

    Full description at Econpapers || Download paper

51. Optimal initiation of a GLWB in a variable annuity: No Arbitrage approach. (2014). Milevsky, Moshe ; Salisbury, T. S. ; Huang, H..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:56:y:2014:i:c:p:102-111.

    Full description at Econpapers || Download paper

52. Valuation perspectives and decompositions for variable annuities with GMWB riders. (2014). Wenger, Menachem ; Hyndman, Cody B..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:55:y:2014:i:c:p:283-290.

    Full description at Econpapers || Download paper

53. Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products. (2014). Kwok, Yue Kuen ; Huang, Yao Tung .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:45:y:2014:i:c:p:19-43.

    Full description at Econpapers || Download paper

54. An optimal stochastic control framework for determining the cost of hedging of variable annuities. (2014). Forsyth, Peter ; Vetzal, Kenneth.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:44:y:2014:i:c:p:29-53.

    Full description at Econpapers || Download paper

55. Cross-hedging minimum return guarantees: Basis and liquidity risks. (2014). Ankirchner, Stefan ; Schweizer, Nikolaus ; Schneider, Judith C..
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:41:y:2014:i:c:p:93-109.

    Full description at Econpapers || Download paper

56. Cyber Risk and Insurance Coverage: An Actuarial Multistate Approach. (2014). Addessi, Elena M. ; Barracchini, Carla .
    In: Review of Economics & Finance.
    RePEc:bap:journl:140105.

    Full description at Econpapers || Download paper

57. Fast Numerical Method for Pricing of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Optimal Withdrawal Strategy. (2014). Luo, Xiaolin ; Shevchenko, Pavel.
    In: Papers.
    RePEc:arx:papers:1410.8609.

    Full description at Econpapers || Download paper

58. Application of data clustering and machine learning in variable annuity valuation. (2013). Gan, Guojun.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:53:y:2013:i:3:p:795-801.

    Full description at Econpapers || Download paper

59. Valuation Perspectives and Decompositions for Variable Annuities with GMWB riders. (2013). Wenger, Menachem ; Hyndman, Cody B..
    In: Papers.
    RePEc:arx:papers:1307.2562.

    Full description at Econpapers || Download paper

60. Variable annuities and the option to seek risk: Why should you diversify?. (2012). Schneider, Judith C. ; Mahayni, Antje.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:9:p:2417-2428.

    Full description at Econpapers || Download paper

61. Analytical calculation of risk measures for variable annuity guaranteed benefits. (2012). Feng, Runhuan ; Volkmer, Hans W..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:51:y:2012:i:3:p:636-648.

    Full description at Econpapers || Download paper

62. Valuing equity-linked death benefits and other contingent options: A discounted density approach. (2012). Shiu, Elias S. W., ; Gerber, Hans U. ; Yang, Hailiang.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:51:y:2012:i:1:p:73-92.

    Full description at Econpapers || Download paper

63. Valuing variable annuity guarantees with the multivariate Esscher transform. (2011). Li, Johnny Siu-Hang ; Ng, Andrew Cheuk-Yin .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:49:y:2011:i:3:p:393-400.

    Full description at Econpapers || Download paper

64. Too much cocited documents. This list is not complete

Report date: 2025-09-21 06:25:34 || Missing content? Let us know