Image de couverture de livre

Variable annuities: A closer look at ratchet guarantees, hybrid contract designs, and taxation

Fuente: arXiv

Enregistré dans:

Détails bibliographiques
Auteurs principaux:	Alonso-Garcia, Jennifer, Garces, Len Patrick Dominic M., Ziveyi, Jonathan
Format:	Preprint
Publié:	2025
Sujets:	Portfolio Management Optimization and Control Pricing of Securities 91G05, 91G60, 90C39
Accès en ligne:	Acceder al recurso
Tags:	Ajouter un tag Pas de tags, Soyez le premier à ajouter un tag!

Documents similaires

Black-Scholes-Merton Option Pricing Revisited: Did we Find a Fatal Flaw?
par: Mink, Mark, et autres
Publié: (2022)

Deep Least Squares Monte Carlo methods for the valuation of variable annuities with guarantees
par: Langrené, Nicolas, et autres
Publié: (2026)

Cross-Currency Heath-Jarrow-Morton Framework in the Multiple-Curve Setting
par: Gnoatto, Alessandro, et autres
Publié: (2023)

Equity Protection Swaps: A New Type of Investment Insurance for Holders of Superannuation Accounts
par: Xu, Huansang, et autres
Publié: (2023)

Efficient approximations for utility-based pricing
par: Carassus, Laurence, et autres
Publié: (2021)

Signature volatility models: pricing and hedging with Fourier
par: Jaber, Eduardo Abi, et autres
Publié: (2024)

A functional variational approach to pricing path dependent insurance policies
par: Baños, David R., et autres
Publié: (2024)

Machine-learning regression methods for American-style path-dependent contracts
par: Gambara, Matteo, et autres
Publié: (2023)

Stochastic Volatility, Jumps, and Rates: A Unified Framework for Option Pricing and Term-Structure Simulation
par: Putri, Nunik Srikandi, et autres
Publié: (2026)

A Framework for Waterfall Pricing Using Simulation-Based Uncertainty Modeling
par: Jean, Nicola, et autres
Publié: (2025)

Functional quantization of rough volatility and applications to volatility derivatives
par: Bonesini, Ofelia, et autres
Publié: (2021)

Calibration and Option Pricing with Stochastic Volatility and Double Exponential Jumps
par: Agazzotti, Gaetano, et autres
Publié: (2025)

At-the-money short-time call-price asymptotics for new classes of exponential Lévy models
par: Hoffmeyer, Allen, et autres
Publié: (2026)

Robo-Advising in Motion: A Model Predictive Control Approach
par: Bielecki, Tomasz R., et autres
Publié: (2026)

Pricing with Passion: The Local Occupied Volatility (LOV) Model
par: Tissot-Daguette, Valentin
Publié: (2026)

Risk-aware Trading Portfolio Optimization
par: Bianchetti, Marco, et autres
Publié: (2025)

Thiele's PIDE for unit-linked policies in the Heston-Hawkes stochastic volatility model
par: Baños, David R., et autres
Publié: (2023)

Tighter 'uniform bounds for Black-Scholes implied volatility' and the applications to root-finding
par: Choi, Jaehyuk, et autres
Publié: (2023)

From Arbitrage Removal to Density Extraction: A Model-Free Framework for Short-Dated Options
par: Wizman, Aaron, et autres
Publié: (2026)

Stochastic PDEs for large portfolios with general mean-reverting volatility processes
par: Hambly, Ben, et autres
Publié: (2019)

Mean Field Equilibrium Asset Pricing Models With Exponential Utility
par: Sekine, Masashi
Publié: (2026)

Filtering in a hazard rate change-point model with financial and life-insurance applications
par: Buttarazzi, Matteo, et autres
Publié: (2025)

Multifactor Quadratic Hobson and Rogers models
par: Foschi, Paolo
Publié: (2025)

Bayesian Filtering for Multi-period Mean-Variance Portfolio Selection
par: Sikaria, Shubhangi, et autres
Publié: (2019)

Higher-order ATM asymptotics for the CGMY model via the characteristic function
par: Hoffmeyer, Allen, et autres
Publié: (2026)

Optimal strategy and deep hedging for share repurchase programs
par: Corti, Stefano, et autres
Publié: (2026)

Portfolios Generated by Contingent Claim Functions, with Applications to Option Pricing
par: Fernholz, Ricardo T., et autres
Publié: (2023)

Rough volatility dynamics in commodity markets
par: Daluiso, Roberto, et autres
Publié: (2026)

Pricing Quanto and Composite Contracts with Local-Correlation Models
par: Pallavicini, Andrea
Publié: (2025)

Optimal Parlay Wagering and Whitrow Asymptotics: A State-Price and Implicit-Cash Treatment
par: Long, Christopher D.
Publié: (2026)

Risk-Constrained Kelly for Mutually Exclusive Outcomes: CRRA Support Invariance and Logarithmic One-Dimensional Calibration
par: Long, Christopher D.
Publié: (2026)

Single-Event Multinomial Full Kelly via Implicit State Positions
par: Long, Christopher D.
Publié: (2026)

A framework for the valuation of insurance liabilities by production cost
par: Moehr, Christoph
Publié: (2023)

Representation of forward performance criteria with random endowment via FBSDE and its application to forward optimized certainty equivalent
par: Liang, Gechun, et autres
Publié: (2023)

Risk-Neutral Pricing of Random-Expiry Options Using Trinomial Trees
par: Bossu, Sebastien, et autres
Publié: (2025)

Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
par: Bourgey, Florian, et autres
Publié: (2021)

Interest rate convexity in a Gaussian framework
par: Jacquier, Antoine, et autres
Publié: (2023)

A Clarifying Note on Long-Horizon Investment and Dollar-Cost Averaging: An Effective Investment Exposure Perspective
par: Sato, Zeusu
Publié: (2025)

Jump risk premia in the presence of clustered jumps
par: Liu, Francis, et autres
Publié: (2025)

Gatheral double stochastic volatility model with Skorokhod reflection
par: Mishura, Yuliya, et autres
Publié: (2025)