A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Optimizes retirement spending and asset allocation to maximize withdrawals and shortfall.
Proposes GLWB-LTC for enhanced life care annuities with dynamic withdrawal strategies and stochastic interest rates.
Optimal tontine strategy maximizes withdrawals while minimizing shortfall.
Optimal withdrawal strategy for DC pension plans maximizes total withdrawals while managing risk.
The paper analyzes GMWB annuities in low interest rate environments.
Investigates optimal withdrawal strategies in VA contracts with tax and ratchet mechanisms.
Withdrawal guarantees ensure the periodical deduction of a constant dollar-amount from a fund investment for a fixed number of periods. If the fund depletes before the last withdrawal, the guarantor has to finance the outstanding withdrawals. We derive a robust hedging strategy which leads to closed form solutions for …
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 of the contract before maturity, making it also an optimal stoppi…
Project forecasts liquidity withdrawal using machine learning models.
A variable annuity contract with Guaranteed Minimum Withdrawal Benefit (GMWB) promises to return the entire initial investment through cash withdrawals during the policy life plus the remaining account balance at maturity, regardless of the portfolio performance. Under the optimal withdrawal strategy of a policyholder,…
A variable annuity contract with Guaranteed Minimum Withdrawal Benefit (GMWB) promises to return the entire initial investment through cash withdrawals during the contract plus the remaining account balance at maturity, regardless of the portfolio performance. Under the optimal(dynamic) withdrawal strategy of a policyh…
This paper presents numerical algorithm and results for pricing a capital protection option offered by many asset managers for investment portfolios to take advantage of market growth and protect savings. Under optimal withdrawal policyholder behaviour the pricing of such a product is an optimal stochastic control prob…
Paper presents deep LSMC method for efficient variable annuity pricing.
New RL method improves financial index tracking accuracy.
Modeling taxation of Variable Annuities has been frequently neglected but accounting for it can significantly improve the explanation of the withdrawal dynamics and lead to a better modeling of the financial cost of these insurance products. The importance of including a model for taxation has first been observed by Mo…
Optimizes liquidity withdrawal timing for AMM LPs to balance fees and impermanent loss.
We propose a unified structural credit risk model incorporating both insolvency and illiquidity risks, in order to investigate how a firm's default probability depends on the liquidity risk associated with its financing structure. We assume the firm finances its risky assets by mainly issuing short- and long-term debt.…
Upper bound on withdrawal success for geometric Levy alpha-stable wealth process.
Variable annuities, as a class of retirement income products, allow equity market exposure for a policyholder's retirement fund with electable additional guarantees to limit the downside risk of the market. Management fees and guarantee insurance fees are charged respectively for the market exposure and for the protect…
In this paper we consider the pricing of variable annuities (VAs) with guaranteed minimum withdrawal benefits. We consider two pricing approaches, the classical risk-neutral approach and the benchmark approach, and we examine the associated static and optimal behaviors of both the investor and insurer. The first model …
Valuing Guaranteed Lifelong Withdrawal Benefit (GLWB) has attracted significant attention from both the academic field and real world financial markets. As remarked by Forsyth and Vetzal the Black and Scholes framework seems to be inappropriate for such long maturity products. They propose to use a regime switching mod…
Maximizing withdrawal success in a pooled annuity fund with multiple annuitants.
Valuing Guaranteed Minimum Withdrawal Benefit (GMWB) has attracted significant attention from both the academic field and real world financial markets. As remarked by Yang and Dai, the Black and Scholes framework seems to be inappropriate for such a long maturity products. Also Chen Vetzal and Forsyth in showed that th…
Retirees who exhaust their savings while still alive are said to experience financial ruin. These savings are typically grown during the accumulation phase then spent during the retirement decumulation phase. Extensive research into invest-and-harvest decumulation strategies has been conducted, but recommendations diff…
We present a reactive beta model that includes the leverage effect to allow hedge fund managers to target a near-zero beta for market neutral strategies. For this purpose, we derive a metric of correlation with leverage effect to identify the relation between the market beta and volatility changes. An empirical test ba…
The paper develops a valuation framework for GLWB-LTC contracts with Levy dynamics and stochastic interest rates.
The paper models ATM cash withdrawal chaos and forecasts using deep learning.
The paper defines and solves time-inconsistent stopping control problems in multi-dimensional diffusion models.
Maximizes probability of completing investment schedules with optimal portfolio weights.
A model explains why 4% is a safe retirement withdrawal rate.
Develops a new method for pricing GMWBs with jumps and stochastic interest rates.
Existence of stochastic financial equilibria giving rise to semimartingale asset prices is established under a general class of assumptions. These equilibria are expressed in real terms and span complete markets or markets with withdrawal constraints.We deal with random endowment density streams which admit jumps and g…
this is a duplicate submission(original is arXiv:1612.02141). Hence want to withdraw it
The Australian Government uses the means-test as a way of managing the pension budget. Changes in Age Pension policy impose difficulties in retirement modelling due to policy risk, but any major changes tend to be `grandfathered' meaning that current retirees are exempt from the new changes. In 2015, two important chan…
There is a technical issue in the analysis that is not easily fixable. We, therefore, withdraw the submission. Sorry for the inconvenience.
In this paper we investigate price and Greeks computation of a Guaranteed Minimum Withdrawal Benefit (GMWB) Variable Annuity (VA) when both stochastic volatility and stochastic interest rate are considered together in the Heston Hull-White model. We consider a numerical method the solves the dynamic control problem due…
We generalize the classic Shiller cyclically adjusted price-earnings ratio (CAPE) used for prediction of future total returns of the stock market. We treat earnings growth as exogenous. The difference between log wealth and log earnings is modeled as an autoregression of order 1 with linear trend 4.6% and Gaussian inno…
Unified formula for arbitrary liquidity operations in weighted AMMs
The guaranteed minimum withdrawal benefit (GMWB) rider, as an add on to a variable annuity (VA), guarantees the return of premiums in the form of peri- odic withdrawals while allowing policyholders to participate fully in any market gains. GMWB riders represent an embedded option on the account value with a fee structu…
The paper examines variable annuities pricing and risk management using the Black-Scholes model and identifies key risk drivers.
We construct a binomial model for a guaranteed minimum withdrawal benefit (GMWB) rider to a variable annuity (VA) under optimal policyholder behaviour. The binomial model results in explicitly formulated perfect hedging strategies funded using only periodic fee income. We consider the separate perspectives of the insur…
Investigates risk measures for DC pension decumulation.
In this paper we explore an identity in distribution of hitting times of a finite variation process (Yor's process) and a diffusion process (geometric Brownian motion with affine drift), which arise from various applications in financial mathematics. As a result, we provide analytical solutions to the fair charge of va…
Optimizes retirement income with MBGs and neural networks for longevity risk.
Existing meta-learning based few-shot learning (FSL) methods typically adopt an episodic training strategy whereby each episode contains a meta-task. Across episodes, these tasks are sampled randomly and their relationships are ignored. In this paper, we argue that the inter-meta-task relationships should be exploited …
Dynamic retirement glidepaths evolve over time based on some measure such as the retiree's funded status or current market valuations. Conversely, static glidepaths are fixed at a starting point and selected under the assumption that they will not change. In practice, new static glidepaths may be derived periodically m…
The paper analyzes the current state of the world economy and offers a short-term forecast of its development. Our analysis of log-periodic oscillations in the DJIA dynamics suggests that in the second half of 2017 the United States and other more developed countries could experience a new recession, due to the third p…
A large collection of financial contracts offering guaranteed minimum benefits are often posed as control problems, in which at any point in the solution domain, a control is able to take any one of an uncountable number of values from the admissible set. Often, such contracts specify that the holder exert control at a…