Results 1 to 10 of about 5,324,674 (240)
A Unified Pricing of Variable Annuity Guarantees under the Optimal Stochastic Control Framework [PDF]
Risks, 2016 In this paper, we review pricing of the variable annuity living and death guarantees offered to retail investors in many countries. Investors purchase these products to take advantage of market growth and protect savings.
Pavel V. Shevchenko, Xiaolin Luo
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Valuation of Large Variable Annuity Portfolios Using Linear Models with Interactions
Risks, 2018 A variable annuity is a popular life insurance product that comes with financial guarantees. Using Monte Carlo simulation to value a large variable annuity portfolio is extremely time-consuming.
Guojun Gan
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Data, 2018 Dynamic hedging has been adopted by many insurance companies to mitigate the financial risks associated with variable annuity guarantees. To simulate the performance of dynamic hedging for variable annuity products, insurance companies rely on nested ...
Guojun Gan, Emiliano A. Valdez
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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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Variational inequality arising from variable annuity with mean reversion environment
Journal of Inequalities and Applications, 2023 In this paper, we study a variational inequality arising from variable annuity (VA) to find the optimal surrender strategy for a VA investor when the underlying asset follows a mean reverting process.
Junkee Jeon, Geonwoo Kim
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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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Mathematical and Computational ApplicationsUnderstanding how crises like the COVID-19 pandemic affect variable annuity pricing is crucial, especially in emerging markets like India. The motivation is that financial stability and risk management in these markets depend heavily on accurate pricing ...
Mohammad Sarfraz +2 more
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Valuation of a Mixture of GMIB and GMDB Variable Annuity
MathematicsThe Guaranteed Minimum Income Benefit (GMIB) and Guaranteed Minimum Death Benefit (GMDB) are options that may be included at the inception of a variable annuity (VA) contract.
Yichen Han +4 more
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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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The Wealth of Wealthholders. [PDF]
Rev Income WealthABSTRACT Wealth, though crucial for modeling economic behavior and understanding well‐being, is difficult to measure in surveys. This paper introduces a new, comprehensive account‐by‐account approach for eliciting asset holding. This approach is implemented in the Vanguard Research Initiative, a panel of wealthholders designed to yield high‐quality ...
Ameriks J +4 more
europepmc +2 more sources