Statutory financial reporting for variable annuity guaranteed death benefits: market practice, mathematical modeling and computation

DOI10.1016/j.insmatheco.2015.12.001zbMath1348.91144OpenAlexW2201684829MaRDI QIDQ282266

Runhuan Feng, Hua-xiong Huang

Publication date: 12 May 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.12.001

zbMATH Keywords

risk measuresaggregate modelguaranteed minimum death benefitindividual modelnumerical PDE methodsrunning supremumstatutory financial reporting

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Risk based capital for guaranteed minimum withdrawal benefit, An overview of exact solution methods for guaranteed minimum death benefit options in variable annuities, Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk, Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits, Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets, Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach, Variable annuity pricing, valuation, and risk management: a survey

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