Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model

DOI10.1080/10920277.2017.1307765zbMath1414.91176OpenAlexW2588635413MaRDI QIDQ5379238

Anne MacKay, Runhuan Feng, Zhen-Yu Cui

Publication date: 28 May 2019

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2017.1307765

zbMATH Keywords

Heston stochastic volatility modelvariable annuitiesVIX-linked fee structure

Mathematics Subject Classification ID

Related Items (18)

Valuation of annuity guarantees under a self-exciting switching jump model ⋮ Portfolio optimization with a guaranteed minimum maturity benefit and risk-adjusted fees ⋮ VIX-linked fees for GMWBs via explicit solution simulation methods ⋮ Optimal fee structure of variable annuities ⋮ Valuing guaranteed minimum accumulation benefits by a change of numéraire approach ⋮ Computational technique for simulating variable-order fractional Heston model with application in US stock market ⋮ Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation ⋮ Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk ⋮ Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees ⋮ Levelling the playing field: a VIX-linked structure for funded pension schemes ⋮ Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits ⋮ Fees in tontines ⋮ Pricing bounds and bang-bang analysis of the Polaris variable annuities ⋮ A Markov chain approximation scheme for option pricing under skew diffusions ⋮ The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails ⋮ Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk ⋮ ON COMPLEX ECONOMIC SCENARIO GENERATORS: IS LESS MORE? ⋮ Variable annuity pricing, valuation, and risk management: a survey

Uses Software

• QRM

Cites Work

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