Pricing and Hedging Variable Annuity Guarantees with Multiasset Stochastic Investment Models

DOI10.1080/10920277.2013.773240zbMath1412.91052OpenAlexW2078596241MaRDI QIDQ5742633

Johnny Siu-Hang Li, Andrew Cheuk-Yin Ng

Publication date: 15 May 2019

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2013.773240

zbMATH Keywords

hedgingpricingvariable annuity guaranteesmultivariate stochastic investment models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (11)

Moment matching machine learning methods for risk management of large variable annuity portfolios ⋮ Modeling partial Greeks of variable annuities with dependence ⋮ Valuing variable annuity guarantees on multiple assets ⋮ Long guarantees with short duration: the rolling annuity ⋮ Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach ⋮ Efficient Nested Simulation for Conditional Tail Expectation of Variable Annuities ⋮ EFFICIENT DYNAMIC HEDGING FOR LARGE VARIABLE ANNUITY PORTFOLIOS WITH MULTIPLE UNDERLYING ASSETS ⋮ A MIXED BOND AND EQUITY FUND MODEL FOR THE VALUATION OF VARIABLE ANNUITIES ⋮ Application of data clustering and machine learning in variable annuity valuation ⋮ Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing ⋮ Variable annuity pricing, valuation, and risk management: a survey

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