Matches in SemOpenAlex for { <https://semopenalex.org/work/W3141705780> ?p ?o ?g. }
Showing items 1 to 79 of
79
with 100 items per page.
- W3141705780 abstract "Variable annuities (VAs) represent a marked change from earlier life products in the guarantees that they offer and it is no longer possible to manage the risks of these liabilities using traditional actuarial methods. Thinking about guarantees as options suggests applying risk neutral pricing in order to value the embedded guarantees, such as guaranteed minimum death benefits (GMDBs). However, due to the long maturities of contracts, stochastic volatility and many other reasons, VA markets are incomplete. In this paper we propose a methodology for pricing GMDBs under a benchmark approach which does not require the existence of a risk neutral probability measure. We assume that the insurance company invests in the growth optimal portfolio of its investment universe and apply real world pricing rather than risk neutral pricing. In particular, we consider the minimal market model and conclude that in this setup the fair price of a roll-up GMDB is lower than the price obtained by applying standard risk neutral pricing. Moreover, we take into account rational as well as irrational lapsation of the policyholder." @default.
- W3141705780 created "2021-04-13" @default.
- W3141705780 creator A5070253604 @default.
- W3141705780 creator A5070864465 @default.
- W3141705780 creator A5080842355 @default.
- W3141705780 date "2008-01-01" @default.
- W3141705780 modified "2023-09-23" @default.
- W3141705780 title "Valuing Guaranteed Minimum Death Benefit Options in Variable Annuities Under a Benchmark Approach" @default.
- W3141705780 hasPublicationYear "2008" @default.
- W3141705780 type Work @default.
- W3141705780 sameAs 3141705780 @default.
- W3141705780 citedByCount "0" @default.
- W3141705780 crossrefType "posted-content" @default.
- W3141705780 hasAuthorship W3141705780A5070253604 @default.
- W3141705780 hasAuthorship W3141705780A5070864465 @default.
- W3141705780 hasAuthorship W3141705780A5080842355 @default.
- W3141705780 hasConcept C10138342 @default.
- W3141705780 hasConcept C106159729 @default.
- W3141705780 hasConcept C13280743 @default.
- W3141705780 hasConcept C134306372 @default.
- W3141705780 hasConcept C149782125 @default.
- W3141705780 hasConcept C162118730 @default.
- W3141705780 hasConcept C162324750 @default.
- W3141705780 hasConcept C182306322 @default.
- W3141705780 hasConcept C182365436 @default.
- W3141705780 hasConcept C185798385 @default.
- W3141705780 hasConcept C194483076 @default.
- W3141705780 hasConcept C205649164 @default.
- W3141705780 hasConcept C2780821815 @default.
- W3141705780 hasConcept C2780910948 @default.
- W3141705780 hasConcept C3020299011 @default.
- W3141705780 hasConcept C33923547 @default.
- W3141705780 hasConcept C85106312 @default.
- W3141705780 hasConcept C91602232 @default.
- W3141705780 hasConceptScore W3141705780C10138342 @default.
- W3141705780 hasConceptScore W3141705780C106159729 @default.
- W3141705780 hasConceptScore W3141705780C13280743 @default.
- W3141705780 hasConceptScore W3141705780C134306372 @default.
- W3141705780 hasConceptScore W3141705780C149782125 @default.
- W3141705780 hasConceptScore W3141705780C162118730 @default.
- W3141705780 hasConceptScore W3141705780C162324750 @default.
- W3141705780 hasConceptScore W3141705780C182306322 @default.
- W3141705780 hasConceptScore W3141705780C182365436 @default.
- W3141705780 hasConceptScore W3141705780C185798385 @default.
- W3141705780 hasConceptScore W3141705780C194483076 @default.
- W3141705780 hasConceptScore W3141705780C205649164 @default.
- W3141705780 hasConceptScore W3141705780C2780821815 @default.
- W3141705780 hasConceptScore W3141705780C2780910948 @default.
- W3141705780 hasConceptScore W3141705780C3020299011 @default.
- W3141705780 hasConceptScore W3141705780C33923547 @default.
- W3141705780 hasConceptScore W3141705780C85106312 @default.
- W3141705780 hasConceptScore W3141705780C91602232 @default.
- W3141705780 hasLocation W31417057801 @default.
- W3141705780 hasOpenAccess W3141705780 @default.
- W3141705780 hasPrimaryLocation W31417057801 @default.
- W3141705780 hasRelatedWork W1516749189 @default.
- W3141705780 hasRelatedWork W1519801265 @default.
- W3141705780 hasRelatedWork W1581453606 @default.
- W3141705780 hasRelatedWork W1605927091 @default.
- W3141705780 hasRelatedWork W1831087588 @default.
- W3141705780 hasRelatedWork W193904882 @default.
- W3141705780 hasRelatedWork W1990355114 @default.
- W3141705780 hasRelatedWork W2000003498 @default.
- W3141705780 hasRelatedWork W2014655641 @default.
- W3141705780 hasRelatedWork W2078596241 @default.
- W3141705780 hasRelatedWork W2124485124 @default.
- W3141705780 hasRelatedWork W2143872965 @default.
- W3141705780 hasRelatedWork W2273627162 @default.
- W3141705780 hasRelatedWork W2753151457 @default.
- W3141705780 hasRelatedWork W2767289001 @default.
- W3141705780 hasRelatedWork W2974186778 @default.
- W3141705780 hasRelatedWork W3121747736 @default.
- W3141705780 hasRelatedWork W3123621726 @default.
- W3141705780 hasRelatedWork W3150431554 @default.
- W3141705780 hasRelatedWork W2183427467 @default.
- W3141705780 isParatext "false" @default.
- W3141705780 isRetracted "false" @default.
- W3141705780 magId "3141705780" @default.
- W3141705780 workType "article" @default.