[HTML][HTML] Optimal risk sharing and dividend strategies under default contagion: A semi-analytical approach
We investigate the risk control and dividend optimization problem of an insurance group in a
general setting and propose an innovative semi-analytical approach to the problem. The …
general setting and propose an innovative semi-analytical approach to the problem. The …
Pricing and hedging GMWB in the Heston and in the Black–Scholes with stochastic interest rate models
L Goudenege, A Molent, A Zanette - Computational Management Science, 2019 - Springer
In this paper, we approach the problem of valuing a particular type of variable annuity called
GMWB when advanced stochastic models are considered. As remarked by Yang and Dai …
GMWB when advanced stochastic models are considered. As remarked by Yang and Dai …
Taxation of a GMWB variable annuity in a stochastic interest rate model
A Molent - ASTIN Bulletin: The Journal of the IAA, 2020 - cambridge.org
Modeling taxation of Variable Annuities has been frequently neglected, but accounting for it
can significantly improve the explanation of the withdrawal dynamics and lead to a better …
can significantly improve the explanation of the withdrawal dynamics and lead to a better …