GLWB

Stochastic Control

Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals

Pricing of GLWB variable annuities with dynamic withdrawals, purchases, and optimal initiation timing; bang-bang control analysis reducing the strategy space to four choices; …

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Yao Tung Huang (Don HUANG)
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Monte Carlo Methods

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

Regression-based Monte Carlo algorithms for pricing and hedging GLWB variable annuities under stochastic volatility; bang-bang control analysis and sensitivity of GLWB value to …

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Yao Tung Huang (Don HUANG)
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