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Evaluation of variable annuity guarantees with the effect of jumps in the asset price process
Juma, Mussa; Lee, Min Cherng; Chin, Seong Tah; Liew, … - In: Cogent economics & finance 5 (2017) 1, pp. 1-17
Financial crisis in 2007–2008 have caused losses to life insurance companies issuing variable annuities with guarantees. This is partly due to failure of variable annuity (VA) issuers to anticipate the large variations in asset prices during the financial crisis times in their pricing...
Persistent link: https://www.econbiz.de/10011881290
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Valuing variable annuity guarantees on multiple assets
Fonseca, José da; Ziveyi, Jonathan - In: Scandinavian actuarial journal (2017) 3, pp. 209-230
Persistent link: https://www.econbiz.de/10011772102
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On the pricing of regular premium variable annuities using options
Poufinas, Thomas - In: International journal of financial markets and derivatives 4 (2015) 1, pp. 54-77
Persistent link: https://www.econbiz.de/10011316654
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Risk management of variable annuities
Ruez, Frederik - 2017
Persistent link: https://www.econbiz.de/10012659889
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Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality
Liang, Xiaoqing; Tsai, Cary Chi-Liang; Lu, Yi - In: Insurance / Mathematics & economics 70 (2016), pp. 150-161
Persistent link: https://www.econbiz.de/10011597256
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An effective bias-corrected bagging method for the valuation of large variable annuity portfolios
Gweon, Hyukjun Jay; Li, Shu; Mamon, Rogemar - In: ASTIN bulletin : the journal of the International … 50 (2020) 3, pp. 853-871
Persistent link: https://www.econbiz.de/10012307387
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Modeling partial Greeks of variable annuities with dependence
Gan, Guojun; Valdez, Emiliano - In: Insurance / Mathematics & economics 76 (2017), pp. 118-134
Persistent link: https://www.econbiz.de/10011774791
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Household ownership of variable annuities
Brown, Jeffrey R.; Poterba, James M. - 2006
Persistent link: https://www.econbiz.de/10003282012
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Lognormal approximation of complex path-dependent pension scheme payoffs
Løchte Jørgensen, Peter - In: The European journal of finance 13 (2007) 7/8, pp. 595-619
Persistent link: https://www.econbiz.de/10003609931
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Household ownership of variable annuities
Brown, Jeffrey R.; Poterba, James M. - In: Tax policy and the economy 20 (2006), pp. 163-191
Persistent link: https://www.econbiz.de/10003383455