Variable annuities: A unifying valuation approach

Dynamic Asset Pricing Theory.

Jonathan E. Ingersoll, Darrell Duffie · The Journal of Finance · 1993 · 3.1K citations

Economics, Portfolio Optimization, Financial Economics +13

The pricing of equity-linked life insurance policies with an asset value guarantee

Michael J. Brennan, Eduardo S. Schwartz · Journal of Financial Economics · 1976 · 527 citations

Option Pricing, Insurance Markets, Economics +12

A regression-based Monte Carlo method to solve backward stochastic differential equations

Emmanuel Gobet, Jean-Philippe Lemor, Xavier Warin · The Annals of Applied Probability · 2005 · 413 citations · Full text

Numerical Analysis, Numerical Resolution, Engineering +18

A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities

Daniel J. Bauer, Alexander Kling · Astin Bulletin · 2008 · 288 citations · Full text

Mathematical Programming, Engineering, Universal Pricing Framework +18

Financial valuation of guaranteed minimum withdrawal benefits

Moshe A. Milevsky, Thomas S. Salisbury · Insurance Mathematics and Economics · 2005 · 269 citations

Option Pricing, Asset Pricing, Financial Valuation +3