A Unified Pricing of Variable Annuity Guarantees Under the Optimal Stochastic Control Framework

@inproceedings{Shevchenko2016AUP,
  title={A Unified Pricing of Variable Annuity Guarantees Under the Optimal Stochastic Control Framework},
  author={Pavel V. Shevchenko and Xiaolin Luo},
  year={2016}
}
In this paper, we review pricing of the variable annuity living and death guarantees offered to retail investors in many countries. Investors purchase these products to take advantage of market growth and protect savings. We present pricing of these products via an optimal stochastic control framework and review the existing numerical methods. We also discuss pricing under the complete/incomplete financial market models, stochastic mortality and optimal/sub-optimal policyholder behavior, and in… CONTINUE READING

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Product Disclosure Statement—Part B; AMP; Version 1 July 2014

AMP. North Super, Pension Guarantees
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  • 2015
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