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Guaranteed minimum withdrawal benefits with high-water mark fee structure.
- Published in:
- PLoS ONE, 2024, v. 19, n. 5, p. 1, doi. 10.1371/journal.pone.0302740
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- Article
Investment in the Common Good: Free Rider Effect and the Stability of Mixed Strategy Equilibria.
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- Operations Research, 2024, v. 72, n. 2, p. 684, doi. 10.1287/opre.2022.2371
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- Article
On Smoothing and Habit Formation of Variable Life Annuity Benefits.
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- Journal of Risk & Financial Management, 2024, v. 17, n. 2, p. 75, doi. 10.3390/jrfm17020075
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- Article
Valuation of a Mixture of GMIB and GMDB Variable Annuity.
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- Mathematics (2227-7390), 2024, v. 12, n. 3, p. 441, doi. 10.3390/math12030441
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- Article
Taxation and policyholder behavior: the case of guaranteed minimum accumulation benefits.
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- Astin Bulletin, 2024, v. 54, n. 1, p. 185, doi. 10.1017/asb.2023.38
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- Article
A Better Match for Drivers and Riders: Reinforcement Learning at Lyft.
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- INFORMS Journal on Applied Analytics, 2024, v. 54, n. 1, p. 71, doi. 10.1287/inte.2023.0083
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- Article
Optimal Static Hedging of Variable Annuities with Volatility-Dependent Fees.
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- Risks, 2024, v. 12, n. 1, p. 7, doi. 10.3390/risks12010007
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- Article
Pseudo-model-free hedging for variable annuities via deep reinforcement learning.
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- Annals of Actuarial Science, 2023, v. 17, n. 3, p. 503, doi. 10.1017/S1748499523000027
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- Article
Analysis of fair fee in guaranteed lifelong withdrawal and Markovian health benefits.
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- Annals of Finance, 2023, v. 19, n. 3, p. 383, doi. 10.1007/s10436-022-00422-x
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- Article
ASB volume 53 issue 3 Cover and Back matter.
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- Astin Bulletin, 2023, v. 53, n. 3, p. b1, doi. 10.1017/asb.2023.31
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- Article
A hybrid data mining framework for variable annuity portfolio valuation.
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- Astin Bulletin, 2023, v. 53, n. 3, p. 580, doi. 10.1017/asb.2023.26
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- Article
Variational inequality arising from variable annuity with mean reversion environment.
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- Journal of Inequalities & Applications, 2023, v. 2023, n. 1, p. 1, doi. 10.1186/s13660-023-03015-y
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- Article
Vehicle Rebalancing in a Shared Micromobility System with Rider Crowdsourcing.
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- M&SOM: Manufacturing & Service Operations Management, 2023, v. 25, n. 4, p. 1394, doi. 10.1287/msom.2023.1199
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- Article
Cheaper by the bundle: The interaction of frictions and option exercise in variable annuities.
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- Journal of Risk & Insurance, 2023, v. 90, n. 2, p. 459, doi. 10.1111/jori.12393
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- Article
Regulatory Limits to Risk Management.
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- Review of Financial Studies, 2023, v. 36, n. 6, p. 2175, doi. 10.1093/rfs/hhac083
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- Article
Time series model for GLWB with surrender benefit and stochastic interest rate: Dynamic withdrawal approach.
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- Applied Stochastic Models in Business & Industry, 2023, v. 39, n. 3, p. 408, doi. 10.1002/asmb.2751
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- Article
Risk allocation through shapley decompositions, with applications to variable annuities.
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- Astin Bulletin, 2023, v. 53, n. 2, p. 311, doi. 10.1017/asb.2023.7
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- Article
On the Measurement of Hedging Effectiveness for Long-Term Investment Guarantees.
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- Journal of Risk & Financial Management, 2023, v. 16, n. 2, p. 112, doi. 10.3390/jrfm16020112
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- Article
Conflicting Interests and the Effect of Fiduciary Duty: Evidence from Variable Annuities.
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- Review of Financial Studies, 2022, v. 35, n. 12, p. 5334, doi. 10.1093/rfs/hhac047
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- Article
Insurers as Asset Managers and Systemic Risk.
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- Review of Financial Studies, 2022, v. 35, n. 12, p. 5483, doi. 10.1093/rfs/hhac056
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- Article
Variable annuities valuation under a mixed fractional Brownian motion environment with jumps considering mortality risk.
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- Applied Stochastic Models in Business & Industry, 2022, v. 38, n. 6, p. 1019, doi. 10.1002/asmb.2699
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- Article
Dynamic importance allocated nested simulation for variable annuity risk measurement.
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- Annals of Actuarial Science, 2022, v. 16, n. 2, p. 319, doi. 10.1017/S1748499521000257
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- Article
Zeta Annuities, Fractional Calculus, and Polylogarithms.
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- Journal of Applied Economic Sciences, 2022, v. 17, n. 2, p. 162, doi. 10.57017/jaes.v17.2(76).07
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- Article
It's RILA time: An introduction to registered index‐linked annuities.
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- Journal of Risk & Insurance, 2022, v. 89, n. 2, p. 339, doi. 10.1111/jori.12357
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- Article
Valuation of Annuity Guarantees Under a Self-Exciting Switching Jump Model.
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- Methodology & Computing in Applied Probability, 2022, v. 24, n. 2, p. 963, doi. 10.1007/s11009-022-09931-8
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- Article
Portfolio Optimization With a Guaranteed Minimum Maturity Benefit and Risk-Adjusted Fees.
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- Methodology & Computing in Applied Probability, 2022, v. 24, n. 2, p. 1021, doi. 10.1007/s11009-022-09942-5
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- Article
Valuation of variable long-term care and limited hospitalization coverage benefits and two investment funds.
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- Soft Computing - A Fusion of Foundations, Methodologies & Applications, 2022, v. 26, n. 7, p. 3227, doi. 10.1007/s00500-022-06817-2
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- Article
Tree-based models for variable annuity valuation: parameter tuning and empirical analysis.
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- Annals of Actuarial Science, 2022, v. 16, n. 1, p. 95, doi. 10.1017/S1748499521000075
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- Article
A variational inequality arising from optimal surrender of variable annuity with lookback benefit.
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- Journal of Inequalities & Applications, 2022, v. 2022, n. 1, p. 1, doi. 10.1186/s13660-021-02743-3
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- Article
A Time Series Framework for Pricing Guaranteed Lifelong Withdrawal Benefit.
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- Computational Economics, 2021, v. 58, n. 4, p. 1225, doi. 10.1007/s10614-020-09999-9
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Efficient valuation of variable annuity portfolios with dynamic programming.
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- Journal of Risk & Insurance, 2021, v. 88, n. 4, p. 1023, doi. 10.1111/jori.12355
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- Article
High‐water mark fee structure in variable annuities.
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- Journal of Risk & Insurance, 2021, v. 88, n. 4, p. 1057, doi. 10.1111/jori.12345
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- Article
Optimal Surrender Policy of Guaranteed Minimum Maturity Benefits in Variable Annuities with Regime-Switching Volatility.
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- Mathematical Problems in Engineering, 2021, p. 1, doi. 10.1155/2021/9969937
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- Article
The "1-2-3s" of Pension Derisking: Three Tactics for Financial Stability.
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- Benefits Quarterly, 2021, v. 37, n. 2, p. 20
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- Article
A MIXED BOND AND EQUITY FUND MODEL FOR THE VALUATION OF VARIABLE ANNUITIES.
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- Astin Bulletin, 2021, v. 51, n. 1, p. 131, doi. 10.1017/asb.2020.37
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- Article
Variability in pension products: a comparison study between The Netherlands and Denmark.
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- Annals of Actuarial Science, 2020, v. 14, n. 2, p. 338, doi. 10.1017/S1748499520000056
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- Article
ASB volume 50 issue 3 Cover and Back matter.
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- Astin Bulletin, 2020, v. 50, n. 3, p. b1, doi. 10.1017/asb.2020.17
- Publication type:
- Article
ASB volume 50 issue 3 Cover and Front matter.
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- Astin Bulletin, 2020, v. 50, n. 3, p. f1, doi. 10.1017/asb.2020.16
- Publication type:
- Article
AN EFFECTIVE BIAS-CORRECTED BAGGING METHOD FOR THE VALUATION OF LARGE VARIABLE ANNUITY PORTFOLIOS.
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- Astin Bulletin, 2020, v. 50, n. 3, p. 853, doi. 10.1017/asb.2020.28
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- Article
EFFICIENT DYNAMIC HEDGING FOR LARGE VARIABLE ANNUITY PORTFOLIOS WITH MULTIPLE UNDERLYING ASSETS.
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- Astin Bulletin, 2020, v. 50, n. 3, p. 913, doi. 10.1017/asb.2020.26
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- Article
RISK-BASED CAPITAL FOR VARIABLE ANNUITY UNDER STOCHASTIC INTEREST RATE.
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- Astin Bulletin, 2020, v. 50, n. 3, p. 959, doi. 10.1017/asb.2020.20
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- Article
TAXATION OF A GMWB VARIABLE ANNUITY IN A STOCHASTIC INTEREST RATE MODEL.
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- Astin Bulletin, 2020, v. 50, n. 3, p. 1001, doi. 10.1017/asb.2020.29
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- Article
Hedging of Variable Annuities under Basis Risk.
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- Asia-Pacific Journal of Risk & Insurance, 2020, v. 14, n. 2, p. 1, doi. 10.1515/apjri-2019-0040
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- Article
Systematic longevity risk: to bear or to insure?
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- Journal of Pension Economics & Finance, 2020, v. 19, n. 3, p. 409, doi. 10.1017/S1474747219000192
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- Article
ASB volume 50 issue 2 Cover and Back matter.
- Published in:
- Astin Bulletin, 2020, v. 50, n. 2, p. b1, doi. 10.1017/asb.2020.17
- Publication type:
- Article
ASB volume 50 issue 2 Cover and Front matter.
- Published in:
- Astin Bulletin, 2020, v. 50, n. 2, p. f1, doi. 10.1017/asb.2020.16
- Publication type:
- Article
LESS-EXPENSIVE VALUATION AND RESERVING OF LONG-DATED VARIABLE ANNUITIES WHEN INTEREST RATES AND MORTALITY RATES ARE STOCHASTIC.
- Published in:
- Astin Bulletin, 2020, v. 50, n. 2, p. 381, doi. 10.1017/asb.2020.7
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- Article
The effect of retirement taxation rules on the value of guaranteed lifetime withdrawal benefits.
- Published in:
- Annals of Actuarial Science, 2020, v. 14, n. 1, p. 83, doi. 10.1017/S1748499519000058
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- Article
THE EFFECT OF THE ASSUMED INTEREST RATE AND SMOOTHING ON VARIABLE ANNUITIES.
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- Astin Bulletin, 2020, v. 50, n. 1, p. 131, doi. 10.1017/asb.2019.27
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- Article
Where Less Is More: Reducing Variable Annuity Fees to Benefit Policyholder and Insurer.
- Published in:
- Journal of Risk & Insurance, 2019, v. 86, n. 3, p. 761, doi. 10.1111/jori.12237
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- Article