Valuing variable annuity guarantees on multiple assets

DOI10.1080/03461238.2015.1102167zbMATH Open1401.91127OpenAlexW2253276002MaRDI QIDQ4575460FDOQ4575460

Authors: José Da Fonseca, Jonathan Ziveyi 

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

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zbMATH Keywords

variable annuityEuropean optionmortality riskcorrelation riskmultiple assetsstochastic volatility risk

Mathematics Subject Classification ID

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

Cites Work

• The pricing of options and corporate liabilities
• A theory of the term structure of interest rates
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Analytical calculation of risk measures for variable annuity guaranteed benefits
• Financial valuation of guaranteed minimum withdrawal benefits
• Affine processes for dynamic mortality and actuarial valuations
• Option pricing when correlations are stochastic: an analytical framework
• Riding on the smiles
• Probability essentials.
• Post-'87 crash fears in the S\&P 500 futures option market
• Pricing annuity guarantees under a regime-switching model
• Valuing variable annuity guarantees with the multivariate Esscher transform
• Density approximations for multivariate affine jump-diffusion processes
• A Fourier transform method for spread option pricing
• The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
• Mortality derivatives and the option to annuitise.
• Pricing of mountain range derivatives under a principal component stochastic volatility model
• Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
• Valuing the guaranteed minimum death benefit clause with partial withdrawals
• Recursions and fast Fourier transforms for a new bivariate aggregate claims model
• Pricing and hedging variable annuity guarantees with multiasset stochastic investment models
• Pricing range notes within Wishart affine models
• Pricing European options on deferred annuities

Cited In (17)

• 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
• 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
• 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?
• Valuing variable annuity guarantees with the multivariate Esscher transform
• Variable annuity pricing, valuation, and risk management: a survey
• Valuing guaranteed minimum accumulation benefits by a change of numéraire approach
• A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
• Pricing and hedging variable annuity guarantees with multiasset stochastic investment models
• Valuing inflation-linked death benefits under a stochastic volatility framework
• Less-expensive valuation and reserving of long-dated variable annuities when interest rates and mortality rates are stochastic
• A general model for the analysis and valuation of guaranteed minimum benefits in fonds policies
• Scenario selection with LASSO regression for the valuation of variable annuity portfolios
• Pricing variable annuities embedding various guaranteed minimum benefits
• Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation

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