Results 21 to 30 of about 5,324,674 (240)
GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES [PDF]
Mathematical Finance, 2007 We develop a singular stochastic control model for pricing variable annuities with the guaranteed minimum withdrawal benefit. This benefit promises to return the entire initial investment, with withdrawals spread over the term of the contract, irrespective of the market performance of the underlying asset portfolio. A contractual withdrawal rate is set
Dai, Min, Kwok, Yue Kuen, Zong, Jianping
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Household Ownership of Variable Annuities [PDF]
Tax Policy and the Economy, 2006 Variable annuities have been one of the most rapidly growing financial products of the last two decades. Between 1996 and 2004, nominal sales of variable annuities in the United States more than doubled, from $51 billion to $130 billion. Variable annuities now account for almost two-thirds of annuity sales.
Jeffrey Brown, James Poterba
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Evaluation of variable annuity guarantees with the effect of jumps in the asset price process
Cogent Economics & Finance, 2017 Financial crisis in 2007–2008 have caused losses to life insurance companies issuing variable annuities with guarantees. This is partly due to failure of variable annuity (VA) issuers to anticipate the large variations in asset prices during the ...
Mussa Juma +3 more
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Household Demand for Variable Annuities [PDF]
SSRN Electronic Journal, 2004 Between 1990 and 2000, total sales of variable annuities in the U.S. grew from just over $5 billion to nearly $140 billion. These products now account for approximately half of all private market annuity sales. Variable annuities resemble mutual funds, but they qualify for special tax treatment as insurance products because they provide an option to ...
Jeffrey R. Brown, James M. Poterba
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Forecasting multiple functional time series in a group structure: an application to mortality’ [PDF]
, 2020 When modeling sub-national mortality rates, we should consider three features: (1) how to incorporate any possible correlation among sub-populations to potentially improve forecast accuracy through multi-population joint modeling; (2) how to reconcile ...
Haberman, S., Shang, H.L.
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Valuing Guaranteed Minimum Death Benefits by Cosine Series Expansion
Mathematics, 2019 Recently, the valuation of variable annuity products has become a hot topic in actuarial science. In this paper, we use the Fourier cosine series expansion (COS) method to value the guaranteed minimum death benefit (GMDB) products.
Wenguang Yu +5 more
doaj +1 more source
AIChE Journal, EarlyView.Abstract In pharmaceutical industries, continuous manufacturing methods have already been well established to improve productivity and process intensification. However, to better understand the trade‐offs of continuous crystallizers over the existing batch production systems, a robust technoeconomic cost and sustainability analysis is necessary to ...
Jungsoo Rhim, Zoltan K. Nagy
wiley +1 more source
Chemie Ingenieur Technik, EarlyView.Mechanical vapor recompression integration in distillation is analyzed, focusing on feed preheating and column pressure drop. Binary methanol–water and benzene–toluene separations are studied to identify optimal designs, which are further assessed in a bioethanol vacuum distillation sequence regarding energetic, ecological, and economic performance ...
Thorben Hochhaus +3 more
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Variable Annuity with GMWB: surrender or not, that is the question
, 2015 Under the optimal withdrawal strategy of a policyholder, the pricing of variable annuities with Guaranteed Minimum Withdrawal Benefit (GMWB) is an optimal stochastic control problem. The surrender feature available in marketed products allows termination
Luo, Xiaolin, Shevchenko, Pavel
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Self-selection and risk sharing in a modern world of life-long annuities [PDF]
, 2018 Communicating a pension product well is as important as optimising the financial value. In a recent study, we showed that up to 80% of the value of a pension lump sum could be lost if customer communication failed.
Gerrard, R. J. G. +3 more
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