An FFT approach to price guaranteed minimum death benefit in variable annuities under a regime-switching model

zbMATH Open1299.91044MaRDI QIDQ5166103FDOQ5166103

Kun Fan

Publication date: 30 June 2014

Recommendations

• Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
• Pricing annuity guarantees under a double regime-switching model
• Pricing annuity guarantees under a regime-switching model
• Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method
• Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality

zbMATH Keywords

regime-switchingvariable annuityfast Fourier transformEsscher transformguaranteed minimum death benefit

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for discrete and fast Fourier transforms (65T50)

Cited In (5)

• A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
• Evaluation of participating endowment life insurance policies in a stochastic environment
• Valuation of guaranteed unitized participating life insurance under MEGB2 distribution
• Statutory financial reporting for variable annuity guaranteed death benefits: market practice, mathematical modeling and computation
• Pricing annuity guarantees under a double regime-switching model

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