A Unified Pricing of Variable Annuity Guarantees under the Optimal Stochastic Control Framework

A Unified Pricing of Variable Annuity Guarantees under the Optimal Stochastic Control Framework

In this paper, we review pricing of the variable annuity living and death guarantees offered to retail investors in many countries. Investors purchase these products to take advantage of market growth and protect savings. We present pricing of these products via an optimal stochastic control framewo...

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Bibliographic Details
Main Authors: Pavel V. Shevchenko, Xiaolin Luo
Format: Article
Language:English
Published: MDPI AG 2016-07-01
Series:Risks
Subjects:
variable annuity
guaranteed living and death benefits
guaranteed minimum accumulation benefit
optimal stochastic control
direct integration method
Online Access:http://www.mdpi.com/2227-9091/4/3/22

Internet

http://www.mdpi.com/2227-9091/4/3/22

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