Abstract This Special Issue of Insurance: Mathematics and Economics contains 16
contributions to the academic literature all dealing with longevity risk and capital markets …

In this paper, we analyze a form of equity-linked Guaranteed Minimum Death Benefit
(GMDB), whose payoff depends on a dollar cost averaging (DCA) style periodic investment …

This work studies the valuation and optimal surrender of variable (equity-linked) annuities
under a Lévy-driven equity market with mortality risk. We consider a practical periodic fee …

This paper presents a flexible valuation approach for variable annuity (VA) contracts
embedded with guaranteed minimum maturity benefit (GMMB) riders written on an …

We develop an efficient pricing approach for guaranteed minimum withdrawal benefits
(GMWBs) with continuous withdrawals under a realistic modeling setting with jump …

The valuation and pricing of GMWB which is a key value-added component of VA helping
administrators control for longevity risk to retirees. GMWB provides systematic withdrawal …

Stochastic control problems in finance often involve complex controls at discrete times. As a
result numerically solving such problems, for example using methods based on partial …

This special issue of the Journal of Demographic Economics contains 10 contributions to the
academic literature all dealing with longevity risk and capital markets. Draft versions of the …

A well-known approach for the pricing of options under regime-switching models is to use
the regime-switching Esscher transform (also called regime-switching mean-correcting …

Variable annuities (VAs) are popular personal savings and investment vehicles with long-
term guarantees. They include various exercise-dependent features, and the pricing …