CALCULATING VARIABLE ANNUITY LIABILITY “GREEKS” USING MONTE CARLO SIMULATION
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Publication:4563739
DOI10.1017/asb.2014.31zbMath1390.91332OpenAlexW1631706793MaRDI QIDQ4563739
Hsiao Yen Lok, Mark J. Cathcart, Steven Morrison, Alexander J. McNeil
Publication date: 4 June 2018
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/asb.2014.31
stochastic simulationstochastic interest ratesHeston stochastic volatility modelvariable annuityGreekssensitivitiesMonte Carlo estimationpathwise methodlikelihood-ratio method
Related Items (7)
Two-stage nested simulation of tail risk measurement: a likelihood ratio approach ⋮ Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk ⋮ EFFICIENT DYNAMIC HEDGING FOR LARGE VARIABLE ANNUITY PORTFOLIOS WITH MULTIPLE UNDERLYING ASSETS ⋮ An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios ⋮ Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets ⋮ HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS ⋮ Variable annuity pricing, valuation, and risk management: a survey
Cites Work
- The effect of modelling parameters on the value of GMWB guarantees
- Pricing American-style securities using simulation
- Financial valuation of guaranteed minimum withdrawal benefits
- Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
- Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility
- GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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