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

Related Items (7)

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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