Ng, Andrew Cheuk-Yin; Li, Johnny Siu-Hang - In: Insurance: Mathematics and Economics 49 (2011) 3, pp. 393-400
Variable annuities are usually sold with a range of guarantees that protect annuity holders from some downside market risk. Although it is common to see variable annuity guarantees written on multiple funds, existing pricing methods are, by and large, based on stochastic processes for one single...