Valuation of Variable Annuities with Guaranteed Minimum Withdrawal and Death Benefits via Stochastic Control Optimization

SSRN Electronic Journal ◽

10.2139/ssrn.2528355 ◽

2014 ◽

Cited By ~ 1

Author(s):

Xiaolin Luo ◽

Pavel V. Shevchenko

Keyword(s):

Stochastic Control ◽

Variable Annuities ◽

Control Optimization

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Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2015.02.003 ◽

2015 ◽

Vol 62 ◽

pp. 5-15 ◽

Cited By ~ 20

Author(s):

Xiaolin Luo ◽

Pavel V. Shevchenko

Keyword(s):

Stochastic Control ◽

Variable Annuities ◽

Control Optimization

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Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees

Quantitative Finance ◽

10.1080/14697688.2015.1088962 ◽

2015 ◽

Vol 16 (6) ◽

pp. 905-928 ◽

Cited By ~ 14

Author(s):

Yao Tung Huang ◽

Yue Kuen Kwok

Keyword(s):

Monte Carlo ◽

Stochastic Control ◽

Monte Carlo Methods ◽

Variable Annuities ◽

Control Models ◽

Stochastic Control Models

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Stochastic control optimization for a mixed mode building considering occupant window opening behaviour

Journal of Building Performance Simulation ◽

10.1080/19401493.2013.863384 ◽

2014 ◽

Vol 7 (6) ◽

pp. 427-444 ◽

Cited By ~ 19

Author(s):

Ryan A. Tanner ◽

Gregor P. Henze

Keyword(s):

Stochastic Control ◽

Mixed Mode ◽

Control Optimization ◽

Window Opening

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Towards an expert system in stochastic control: Optimization in the class of local feedbacks

Lecture Notes in Mathematics - Recent Mathematical Methods in Dynamic Programming ◽

10.1007/bfb0074781 ◽

1985 ◽

pp. 67-93

Author(s):

C. Gomez ◽

J. P. Quadrat ◽

A. Sulem

Keyword(s):

Expert System ◽

Stochastic Control ◽

Control Optimization

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Stochastic Control Optimization Technique on Multi-Server Markovian Queueing System

Indian Journal Of Applied Research ◽

10.15373/2249555x/july2013/115 ◽

2011 ◽

Vol 3 (7) ◽

pp. 375-378

Author(s):

K. Sivaselvan K. Sivaselvan ◽

◽

C. Vijayalakshmi C. Vijayalakshmi

Keyword(s):

Stochastic Control ◽

Queueing System ◽

Optimization Technique ◽

Control Optimization ◽

Multi Server

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Regression-Based Monte Carlo Methods for Stochastic Control Models: Variable Annuities with Lifelong Guarantees

SSRN Electronic Journal ◽

10.2139/ssrn.2471409 ◽

2014 ◽

Cited By ~ 3

Author(s):

Yao Tung Huang ◽

Yue Kuen Kwok

Keyword(s):

Monte Carlo ◽

Stochastic Control ◽

Monte Carlo Methods ◽

Variable Annuities ◽

Control Models ◽

Stochastic Control Models

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Modeling, Stochastic Control, Optimization, and Applications

10.1007/978-3-030-25498-8 ◽

2019 ◽

Keyword(s):

Stochastic Control ◽

Control Optimization

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Stochastic control models for variable annuities with dynamic guarantees

10.14711/thesis-b1334298 ◽

2014 ◽

Author(s):

Yao Tung Huang

Keyword(s):

Stochastic Control ◽

Variable Annuities ◽

Control Models ◽

Stochastic Control Models

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An optimal stochastic control framework for determining the cost of hedging of variable annuities

Journal of Economic Dynamics and Control ◽

10.1016/j.jedc.2014.04.005 ◽

2014 ◽

Vol 44 ◽

pp. 29-53 ◽

Cited By ~ 34

Author(s):

Peter Forsyth ◽

Kenneth Vetzal

Keyword(s):

Stochastic Control ◽

Optimal Stochastic Control ◽

Variable Annuities ◽

Control Framework ◽

Cost Of Hedging ◽

The Cost

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Dynamic Programming and Stochastic Control

10.1016/s0076-5392(08)x6050-3 ◽

1976 ◽

Cited By ~ 2

Keyword(s):

Dynamic Programming ◽

Stochastic Control

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