Variable Annuities with embedded guarantees are very popular in the US market. There
exists a great variety of products with both, guaranteed minimum death benefits (GMDB) and …

Life annuities and pension products usually involve a number of guarantees, such as
minimum accumulation rates, minimum annual payments or a minimum total payout …

For many years, the longevity risk of individuals has been underestimated, as survival
probabilities have improved across the developed world. The uncertainty and volatility of …

The article presents a review of structural models of policyholder behavior in life insurance.
We first discuss underlying drivers of policyholder behavior in theory and survey the …

Guaranteed lifetime withdrawal benefits (GLWB) embedded in variable annuities have
become an increasingly popular type of life annuity designed to cover systematic mortality …

In this paper we propose a model for pricing GLWB variable annuities under a stochastic
mortality framework. Our set-up is very general and only requires the Markovian property for …

In this paper, we present a dynamic programming algorithm for pricing variable annuities
with Guaranteed Minimum Withdrawal Benefits (GMWB) under a general Lévy processes …

Variable annuities with guaranteed minimum lifetime withdrawal benefits (VA/GLWB) offer
retirees longevity protection, exposure to equity markets, and access to flexible withdrawals …

We present regression-based Monte Carlo simulation algorithm for solving the stochastic
control models associated with pricing and hedging of the guaranteed lifelong withdrawal …

We analyze the impact of policyholder behavior on pricing, hedging and hedge efficiency of
variable annuities with guaranteed lifetime withdrawal benefits. We consider different …