Variable annuity is arguably the most complex individual retirement planning product in the
financial market. Its intricacy stems from a variety of product features including investment …

Purpose–The purpose of this paper is to review research on lapse in life insurance and to
outline potential new areas of research in this field. Design/methodology/approach–The …

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 …

We develop a novel machine learning (ML) framework to estimate a surrender charge for
variable annuities (VAs) with the balance between human behavior and rational optimality …

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 …

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 …

The financial guarantees embedded in variable annuity contracts expose insurers to a wide
range of risks, lapse risk being one of them. When policyholders' lapse behavior differs from …

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

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

This paper proposes a technique to derive the optimal surrender strategy for a variable
annuity (VA) as a function of the underlying fund value. This approach is based on splitting …