Valuing variable annuity guarantees on multiple assets

DOI10.1080/03461238.2015.1102167zbMath1401.91127OpenAlexW2253276002MaRDI QIDQ4575460

Jonathan Ziveyi, José Da Fonseca

Publication date: 13 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2015.1102167

zbMATH Keywords

mortality riskEuropean optioncorrelation riskvariable annuitymultiple assetsstochastic volatility risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (8)

Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation ⋮ Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method ⋮ Affordable and adequate annuities with stable payouts: fantasy or reality? ⋮ Weighted utility optimization of the participating endowment contract ⋮ FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY ⋮ Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing ⋮ The Valuation of a Guaranteed Minimum Maturity Benefit under a Regime-Switching Framework ⋮ Variable annuity pricing, valuation, and risk management: a survey

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