Fontana, Claudio; Rotondi, Francesco Valuation of general GMWB annuities in a low interest rate environment. (English) Zbl 1528.91062 Insur. Math. Econ. 112, 142-167 (2023). Reviewer: Pavel Stoynov (Sofia) MSC: 91G05 91G30 PDFBibTeX XMLCite \textit{C. Fontana} and \textit{F. Rotondi}, Insur. Math. Econ. 112, 142--167 (2023; Zbl 1528.91062) Full Text: DOI arXiv
Kang, Boda; Shen, Yang; Zhu, Dan; Ziveyi, Jonathan Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method. (English) Zbl 1492.91303 Insur. Math. Econ. 105, 96-127 (2022). MSC: 91G05 PDFBibTeX XMLCite \textit{B. Kang} et al., Insur. Math. Econ. 105, 96--127 (2022; Zbl 1492.91303) Full Text: DOI
Huang, Yiming; Mamon, Rogemar; Xiong, Heng Valuing guaranteed minimum accumulation benefits by a change of numéraire approach. (English) Zbl 1484.91387 Insur. Math. Econ. 103, 1-26 (2022). MSC: 91G05 PDFBibTeX XMLCite \textit{Y. Huang} et al., Insur. Math. Econ. 103, 1--26 (2022; Zbl 1484.91387) Full Text: DOI
Wang, Gu; Zou, Bin Optimal fee structure of variable annuities. (English) Zbl 1475.91321 Insur. Math. Econ. 101, 587-601 (2021). MSC: 91G05 60H10 93E20 PDFBibTeX XMLCite \textit{G. Wang} and \textit{B. Zou}, Insur. Math. Econ. 101, 587--601 (2021; Zbl 1475.91321) Full Text: DOI
Chen, An; Guillen, Montserrat; Rach, Manuel Fees in tontines. (English) Zbl 1475.91290 Insur. Math. Econ. 100, 89-106 (2021). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 PDFBibTeX XMLCite \textit{A. Chen} et al., Insur. Math. Econ. 100, 89--106 (2021; Zbl 1475.91290) Full Text: DOI
Bégin, Jean-François Levelling the playing field: a VIX-linked structure for funded pension schemes. (English) Zbl 1452.91261 Insur. Math. Econ. 94, 58-78 (2020). MSC: 91G05 PDFBibTeX XMLCite \textit{J.-F. Bégin}, Insur. Math. Econ. 94, 58--78 (2020; Zbl 1452.91261) Full Text: DOI
Landriault, David; Li, Bin; Lkabous, Mohamed Amine On occupation times in the red of Lévy risk models. (English) Zbl 1445.91053 Insur. Math. Econ. 92, 17-26 (2020). MSC: 91G05 60G51 PDFBibTeX XMLCite \textit{D. Landriault} et al., Insur. Math. Econ. 92, 17--26 (2020; Zbl 1445.91053) Full Text: DOI arXiv
Feng, Runhuan; Yi, Bingji Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits. (English) Zbl 1419.91360 Insur. Math. Econ. 85, 60-73 (2019). MSC: 91B30 PDFBibTeX XMLCite \textit{R. Feng} and \textit{B. Yi}, Insur. Math. Econ. 85, 60--73 (2019; Zbl 1419.91360) Full Text: DOI
Jeon, Junkee; Kwak, Minsuk Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities. (English) Zbl 1417.91274 Insur. Math. Econ. 83, 93-109 (2018). MSC: 91B30 PDFBibTeX XMLCite \textit{J. Jeon} and \textit{M. Kwak}, Insur. Math. Econ. 83, 93--109 (2018; Zbl 1417.91274) Full Text: DOI
Kouritzin, Michael A.; MacKay, Anne VIX-linked fees for GMWBs via explicit solution simulation methods. (English) Zbl 1416.91197 Insur. Math. Econ. 81, 1-17 (2018). MSC: 91B30 60H10 91G80 PDFBibTeX XMLCite \textit{M. A. Kouritzin} and \textit{A. MacKay}, Insur. Math. Econ. 81, 1--17 (2018; Zbl 1416.91197) Full Text: DOI arXiv
Landriault, David; Li, Bin; Li, Shu Expected utility of the drawdown-based regime-switching risk model with state-dependent termination. (English) Zbl 1401.91158 Insur. Math. Econ. 79, 137-147 (2018). MSC: 91B30 60J20 60G51 PDFBibTeX XMLCite \textit{D. Landriault} et al., Insur. Math. Econ. 79, 137--147 (2018; Zbl 1401.91158) Full Text: DOI Link
Kang, Boda; Ziveyi, Jonathan Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates. (English) Zbl 1400.91249 Insur. Math. Econ. 79, 43-56 (2018). MSC: 91B30 91G20 91G30 PDFBibTeX XMLCite \textit{B. Kang} and \textit{J. Ziveyi}, Insur. Math. Econ. 79, 43--56 (2018; Zbl 1400.91249) Full Text: DOI Link
Shen, Yang; Sherris, Michael; Ziveyi, Jonathan Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options. (English) Zbl 1369.91195 Insur. Math. Econ. 69, 127-137 (2016). MSC: 91G60 91B30 PDFBibTeX XMLCite \textit{Y. Shen} et al., Insur. Math. Econ. 69, 127--137 (2016; Zbl 1369.91195) Full Text: DOI
Feng, Runhuan; Huang, Huaxiong Statutory financial reporting for variable annuity guaranteed death benefits: market practice, mathematical modeling and computation. (English) Zbl 1348.91144 Insur. Math. Econ. 67, 54-64 (2016). MSC: 91B30 91G20 60H30 91G60 PDFBibTeX XMLCite \textit{R. Feng} and \textit{H. Huang}, Insur. Math. Econ. 67, 54--64 (2016; Zbl 1348.91144) Full Text: DOI
Steinorth, Petra; Mitchell, Olivia S. Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits. (English) Zbl 1348.91182 Insur. Math. Econ. 64, 246-258 (2015). MSC: 91B30 91G20 60H30 91G10 PDFBibTeX XMLCite \textit{P. Steinorth} and \textit{O. S. Mitchell}, Insur. Math. Econ. 64, 246--258 (2015; Zbl 1348.91182) Full Text: DOI Link
Zhou, Jiang; Wu, Lan The time of deducting fees for variable annuities under the state-dependent fee structure. (English) Zbl 1314.91149 Insur. Math. Econ. 61, 125-134 (2015). MSC: 91B30 PDFBibTeX XMLCite \textit{J. Zhou} and \textit{L. Wu}, Insur. Math. Econ. 61, 125--134 (2015; Zbl 1314.91149) Full Text: DOI
Zhou, Jiang; Wu, Lan Valuing equity-linked death benefits with a threshold expense strategy. (English) Zbl 1318.91128 Insur. Math. Econ. 62, 79-90 (2015). MSC: 91B30 60H30 PDFBibTeX XMLCite \textit{J. Zhou} and \textit{L. Wu}, Insur. Math. Econ. 62, 79--90 (2015; Zbl 1318.91128) Full Text: DOI
Delong, Łukasz Pricing and hedging of variable annuities with state-dependent fees. (English) Zbl 1304.91098 Insur. Math. Econ. 58, 24-33 (2014). MSC: 91B30 91G20 60H10 60H30 60G51 PDFBibTeX XMLCite \textit{Ł. Delong}, Insur. Math. Econ. 58, 24--33 (2014; Zbl 1304.91098) Full Text: DOI
Huang, H.; Milevsky, M. A.; Salisbury, T. S. Optimal initiation of a GLWB in a variable annuity: no arbitrage approach. (English) Zbl 1304.91113 Insur. Math. Econ. 56, 102-111 (2014). MSC: 91B30 91G20 PDFBibTeX XMLCite \textit{H. Huang} et al., Insur. Math. Econ. 56, 102--111 (2014; Zbl 1304.91113) Full Text: DOI arXiv