The fragility of market risk insurance
RSJ Koijen, M Yogo - The Journal of Finance, 2022 - Wiley Online Library
Variable annuities, which package mutual funds with minimum return guarantees over long
horizons, accounted for $1.5 trillion or 35% of US life insurer liabilities in 2015. Sales …
horizons, accounted for $1.5 trillion or 35% of US life insurer liabilities in 2015. Sales …
Equity-linked guaranteed minimum death benefits with dollar cost averaging
In this paper, we analyze a form of equity-linked Guaranteed Minimum Death Benefit
(GMDB), whose payoff depends on a dollar cost averaging (DCA) style periodic investment …
(GMDB), whose payoff depends on a dollar cost averaging (DCA) style periodic investment …
Looking out for a better mitigation strategy: smallholder farmers' willingness to pay for drought-index crop insurance premium in the Northern Region of Ghana
SA Abugri, J Amikuzuno, EB Daadi - Agriculture & Food Security, 2017 - Springer
Background The impact of climate change and variability on livelihoods of smallholder
farmers in Northern Ghana has become severer than ever before. As a result, crop …
farmers in Northern Ghana has become severer than ever before. As a result, crop …
Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities
Guaranteed lifetime withdrawal benefits (GLWB) embedded in variable annuities have
become an increasingly popular type of life annuity designed to cover systematic mortality …
become an increasingly popular type of life annuity designed to cover systematic mortality …
GMWB for life an analysis of lifelong withdrawal guarantees
In this paper, we analyze the latest guarantee feature in the variable annuities market:
guaranteed minimum withdrawal benefits for life (GMWB for life) which are also called …
guaranteed minimum withdrawal benefits for life (GMWB for life) which are also called …
Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits
P Steinorth, OS Mitchell - Insurance: Mathematics and Economics, 2015 - Elsevier
Variable annuities with guaranteed minimum lifetime withdrawal benefits (VA/GLWB) offer
retirees longevity protection, exposure to equity markets, and access to flexible withdrawals …
retirees longevity protection, exposure to equity markets, and access to flexible withdrawals …
A semi‐Lagrangian ε ε‐monotone Fourier method for continuous withdrawal GMWBs under jump‐diffusion with stochastic interest rate
Y Lu, DM Dang - Numerical Methods for Partial Differential …, 2024 - Wiley Online Library
We develop an efficient pricing approach for guaranteed minimum withdrawal benefits
(GMWBs) with continuous withdrawals under a realistic modeling setting with jump …
(GMWBs) with continuous withdrawals under a realistic modeling setting with jump …
The impact of policyholder behavior on pricing, hedging, and hedge efficiency of withdrawal benefit guarantees in variable annuities
We analyze the impact of policyholder behavior on pricing, hedging and hedge efficiency of
variable annuities with guaranteed lifetime withdrawal benefits. We consider different …
variable annuities with guaranteed lifetime withdrawal benefits. We consider different …
An optimal stochastic control framework for determining the cost of hedging of variable annuities
P Forsyth, K Vetzal - Journal of Economic Dynamics and Control, 2014 - Elsevier
An implicit partial differential equation (PDE) method is used to determine the cost of
hedging for a Guaranteed Lifelong Withdrawal Benefit (GLWB) variable annuity contract. In …
hedging for a Guaranteed Lifelong Withdrawal Benefit (GLWB) variable annuity contract. In …
On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes
The aim of this paper is to analyze the impact of management's strategic choice of asset and
liability composition in life insurance on shortfall risk and the shareholders' fair risk charge …
liability composition in life insurance on shortfall risk and the shareholders' fair risk charge …