Keywordsvariable annuities; surrender behavior; closed-form approximation; pricing; affine linear model; coherent mortality forecasting models; Lee–Carter model; mortality forecasting accuracy; functional data model; retirement village; optimal control; optimal stopping, HARA, American put option; long-term care needs, costs and products for the elderly; disability/health state transitions; life-cycle modelling related to the retirement phase; age-and sex-specific mortality rate; bootstrapping prediction interval; vector autoregressive model; vector error correction model; interval score; stochastic mortality model; extended CreditRisk+; risk aggregation; partial internal model; mortality risk; longevity risk; Markov chain Monte Carlo; mortality modelling; cohort models; factor models; state-space models; Bayesian inference; Markov chain Monte Carlo; features extraction; robust dimensionality reduction; dynamic programming; stochastic control; optimal policy; retirement; means-tested age pension; defined contribution pension; n/a
