Variable Annuities in a Lévy-Based Hybrid Model With Surrender Risk

Pricing Ratchet equity-indexed annuities with early surrender risk in a CIR++ model

In connection with a problem posed by Kijima and Wong [11], we propose a lattice algorithm for pricing simple Ratchet equity-indexed annuities (EIAs) with early surrender risk and global minimum contract value when the asset value depends on the CIR++ stochastic interest rates. In addition we present an asymptotic expansion technique which permits to obtain a first order approximation formula f...

Valuation of Inflation-Linked Annuities in a Lévy Market

Practical Considerations in Managing Variable Annuities

Variable annuities have grown tremendously in recent years, offering life insurers significant growth opportunities. These equity and interest rate structured products offer a broad range of guarantees to the policyholders, and insurers must manage their risks. The insurer’s risk management program must consider modeling and implementation challenges beyond that of the standard capital market a...

Guaranteed Minimum Withdrawal Benefit in Variable Annuities

We develop a singular stochastic control model for pricing variable annuities with the guaranteed minimum withdrawal benefit. This benefit promises to return the entire initial investment, with withdrawals spread over the term of the contract, irrespective of the market performance of the underlying asset portfolio. A contractual withdrawal rate is set and no penalty is imposed when the policyh...

A Lévy Insurance Risk Process with Taxhansjörg

A Lévy insurance risk process with tax Powered by TCPDF (www.tcpdf.org)