Efficient valuation of a variable annuity contract with a surrender option

DOI10.1007/S13160-019-00401-2MaRDI QIDQ2300964zbMATH OpenOpenAlexWikidataFDO

Authors Junkee Jeon, Geonwoo Kim

Publication date 28 February 2020

Published in Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13160-019-00401-2

zbMATH Keywords

variable annuityoptimal surrendernumerical Laplace inversionLaplace-Carson transform

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Laplace transform (44A10) Financial applications of other theories (91G80)

Recommendations

• Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities
• Optimal surrender time for a variable annuity with a fixed insurance fee
• Pricing variable annuity with surrender guarantee
• Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
• Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models

Cites work

• A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
• A simple and fast method for valuing American knock-out options with rebates
• An operational calculus for probability distributions via Laplace transforms
• Analytic solution for American strangle options using Laplace-Carson transforms
• Numerical Inversion of Laplace Transforms of Probability Distributions
• On convergence of Laplace inversion for the American put option under the CEV model
• Optimal surrender policy for variable annuity guarantees
• Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities
• Optimizing Talbot’s Contours for the Inversion of the Laplace Transform
• Randomization and the American put
• The Accurate Numerical Inversion of Laplace Transforms
• Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
• Valuing American options under the CEV model by Laplace-Carson transforms
• Valuing continuous-installment options
• Valuing finite-lived Russian options

Cited in

(7)

• A comparison between different numerical schemes for the valuation of unit-linked contracts embedding a surrender option
• Variational inequality arising from variable annuity with mean reversion environment
• Variable annuity with a surrender option under multiscale stochastic volatility
• Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
• Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models
• VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS
• Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities

Describes a project that uses

Uses Software

• Algorithm 368

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