Results 1 to 10 of about 19,551 (204)
Guaranteed minimum withdrawal benefits with high-water mark fee structure. [PDF]
PLoS ONEThe Guaranteed Minimum Withdrawal Benefit (GMWB), an adjunct incorporated within variable annuities, commits to reimbursing the entire initial investment regardless of the performance of the underlying funds.
Yichen Han +3 more
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Optimal Static Hedging of Variable Annuities with Volatility-Dependent Fees
Risks, 2023 Variable annuities (VAs) and other long-term equity-linked insurance products are typically difficult to hedge in the incomplete markets. A state-dependent fee tied with market volatility for VAs is designed to contribute the risk-sharing mechanism ...
Junsen Tang
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['Models of loan amortization under annual variable annuities']
Acta Economica, 2013 This paper presents models of annuity which either increase or decrease a fxed factor q and which are paid m times in year. The payments (annuity) increase (decrease) in such a way that • a) each payment in the year is equal but each payment in the ...
Миливој Крчмар
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Optimal behavior strategy in the GMIB product [PDF]
Insurance Markets and Companies, 2018 Guaranteed Minimum Income benefit are variable annuities contract, which offer the policyholder the possibility to con- vert the guarantee level into an annuities income for life.
Aymeric Kalife +3 more
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A COMMENT ON VARIABLE ANNUITIES [PDF]
The Journal of Finance, 1957 VARIABLE ANNUITIES are the subject of considerable discussion by individuals who identify themselves with life insurance companies and security dealers. The paper by Mr. Albert Linton published in the May, 1956, issue of the Journal of Finance is a case in point. This comment does not attempt to marshall arguments for or against variable annuities, but
Robert M. Soldofsky, Walter W. McMahon
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A variational inequality arising from optimal surrender of variable annuity with lookback benefit
Journal of Inequalities and Applications, 2022 We introduce a variable annuity (VA) contract with a surrender option and lookback benefit, that is, the benefit of the VA contract is linked to the maximum process of the policyholder’s account value. In contrast to the constant guarantee model provided
Junkee Jeon, Minsuk Kwak
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Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs
Risks, 2016 Variable annuities represent certain unit-linked life insurance products offering different types of protection commonly referred to as guaranteed minimum benefits (GMXBs).
Marcos Escobar +4 more
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Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets
Dependence Modeling, 2017 Metamodeling techniques have recently been proposed to address the computational issues related to the valuation of large portfolios of variable annuity contracts.
Gan Guojun, Valdez Emiliano A.
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Using Neural Networks to Price and Hedge Variable Annuity Guarantees
Risks, 2018 This paper explores the use of neural networks to reduce the computational cost of pricing and hedging variable annuity guarantees. Pricing these guarantees can take a considerable amount of time because of the large number of Monte Carlo simulations ...
Daniel Doyle, Chris Groendyke
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Risk measures for variable annuities: A hermite series expansion approach
Journal of Management Science and Engineering, 2019 In this study, we propose an efficient approach to the calculation of risk measures for an insurer's liability from writing a variable annuity with guaranteed benefits.
Zhenyu Cui +3 more
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