A mixed bond and equity fund model for the valuation of variable annuities

DOI10.1017/ASB.2020.37MaRDI QIDQ5157766zbMATH OpenOpenAlexFDO

Authors Maciej Augustyniak, Frédéric Godin, Emmanuel Hamel

Publication date 20 October 2021

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/asb.2020.37

zbMATH Keywords

basis riskbond fundinvestment guaranteemutual fund modelvariable annuitiesyield curve

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A theory of bond portfolios
• A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
• Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Financial modeling, actuarial valuation and solvency in insurance
• Hedging of long term zero-coupon bonds in a market model with reinvestment risk
• Interest rate models -- theory and practice. With smile, inflation and credit
• Investment guarantees: Modeling and risk management for equity-linked life insurance
• LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK
• Mitigating interest rate risk in variable annuities: an analysis of hedging effectiveness under model risk
• Multivariate models of equity returns for investment guarantees valuation
• Optimal bond portfolios with fixed time to maturity
• Pricing and hedging variable annuity guarantees with multiasset stochastic investment models
• Self-financing trading strategies for sliding, rolling-horizon, and consol bonds
• THE GARCH OPTION PRICING MODEL
• The reset decision for segregated fund maturity guarantees
• Time series analysis and its applications. With R examples
• Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets
• Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility
• Yield curve modeling and forecasting. The dynamic Nelson-Siegel approach

Cited in

(6)

• Risk-based capital for variable annuity under stochastic interest rate
• Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model
• Risk allocation through shapley decompositions, with applications to variable annuities
• Evaluation of participating endowment life insurance policies in a stochastic environment
• Hedging universal life insurance policies
• Hedging targeted risks with reinforcement learning: application to life insurance contracts with embedded guarantees

Describes a project that uses

Uses Software

• FKF
• Rsolnp
• Rugarch
• DEoptim

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