In this paper, we review pricing of the variable annuity living and death guarantees offered to retail investors in many countries. Investors purchase these products to take advantage of market growth and protect savings. We present pricing of these products via an optimal stochastic control...

We introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death causes. Parameter families for mortality trends can be chosen freely. As model settings become high dimensional, Markov chain Monte Carlo (MCMC) is used for parameter estimation....

An ageing population is a major challenge for every country in the world arising from the declining fertility rate and increasing life expectancy. A longevity risk (the adverse outcome of people living longer than expected) exacerbated by declining equity returns coupled with the record low...