The impact of market frictional costs on pricing insurance and financial products in a regime-
switching environment has not been well-explored. This paper introduces a general pricing …

Abstract Variable annuities with Guaranteed Minimum Withdrawal Benefits (GMWB) entitle
the policy holder to periodic withdrawals together with a terminal payoff linked to the …

This article investigates the pricing of variable annuity guarantees, with particularly
emphasising on the Guaranteed Minimum Accumulation Benefit (GMAB) with several …

Both liquidity risk and jump risk are factors that cannot be ignored in the financial markets. In
this paper, we investigate the pricing issue of American options within the framework of …

This article describes a robust continuous-time asset-liability management problem under
Markov regime-switching. First, we employ the “homothetic robustness” to preserve the …

Abstract Variable Annuities (VAs) provide policyholders with market participation while
offering additional protection from insurers. In this article, we develop a mathematical model …

We present an efficient valuation approach for guaranteed minimum maturity benefits
(GMMBs) embedded in variable annuity (VA) contracts in a regime-switching jump diffusion …

We present an efficient valuation approach for guaranteed minimum accumulation benefits
(GMABs), guaranteed minimum death benefits (GMDBs), and surrender benefits (SBs) …

This paper employs a statistical mechanical model as a framework to investigate how
socioeconomic factors of individuals such as gender and place of residence influence their …

We present a streamlined valuation method for the guaranteed minimum accumulation
benefits incorporated within variable annuity contracts. At each contract renewal date, the …