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arXiv research

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.

168,694 papers · 148 categories

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0111 · Apr 202419922001200920172026
2 results for “GLWB-LTC”
Valuation of GLWB-LTC Annuities with Lévy Equity Dynamics, Stochastic Interest Rates and Health-State Transitionsq-fin.PR

The paper develops a valuation framework for GLWB-LTC contracts with Levy dynamics and stochastic interest rates.

problem Valuation of GLWB-LTC contracts with financial guarantees, longevity protection, and health-contingent LTC payments.
method Coupling a recombining Hull-White trinomial tree with an IMEX finite difference scheme, incorporating a seven-state health model.
result Hybrid tree-IMEX method delivers stable long-maturity prices consistent with simulation benchmarks.
GLWB-LTCLevy dynamicsstochastic interest rateshealth-state transitionsfinancial guarantees
2026-05-28abs ↗pdf ↗
The Life Care Annuity: enhancing product features and refining pricing methodsq-fin.CP

Proposes GLWB-LTC for enhanced life care annuities with dynamic withdrawal strategies and stochastic interest rates.

problem Improving life care annuity features and pricing methods.
method Introduces GLWB-LTC with dynamic withdrawal strategies and stochastic interest rates. Solves the stochastic control problem using a robust tree method.
result Optimal withdrawal strategies vary over time with policyholder's health status, highlighting the advantage of flexibility.
Life Care AnnuitiesGLWB-LTCDynamic Withdrawal StrategiesStochastic Interest RatesTree Method
2024-04-03abs ↗pdf ↗