Valuing variable annuity guarantees on multiple assets

DOI10.1080/03461238.2015.1102167zbMath1401.91127OpenAlexW2253276002MaRDI QIDQ4575460

Jonathan Ziveyi, José Da Fonseca

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

zbMATH Keywords

mortality riskEuropean optioncorrelation riskvariable annuitymultiple assetsstochastic volatility risk

Mathematics Subject Classification ID

Related Items (8)

Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation ⋮ 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? ⋮ 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 ⋮ 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 ⋮ Variable annuity pricing, valuation, and risk management: a survey

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