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North American Actuarial Journal Volume 17, 2013 - Issue 1
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Feature Articles

Pricing and Hedging Variable Annuity Guarantees with Multiasset Stochastic Investment Models

Andrew Cheuk-Yin Ng Department of Finance, the Chinese University of Hong Kong, Hong Kong
&
Johnny Siu-Hang Li Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ontario, Canada
Pages 41-62 | Published online: 02 May 2013

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Runhuan Feng, Guojun Gan & Ning Zhang. (2022) Variable annuity pricing, valuation, and risk management: a survey. Scandinavian Actuarial Journal 2022:10, pages 867-900.
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Hassan Mazengera. (2020) Designing and pricing of revenue derivatives layout. Journal of Statistics and Management Systems 23:8, pages 1305-1332.
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Ou Dang, Mingbin Feng & Mary R. Hardy. (2020) Efficient Nested Simulation for Conditional Tail Expectation of Variable Annuities. North American Actuarial Journal 24:2, pages 187-210.
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Brian Hartman, Chris Groendyke & David Engler. (2020) Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing. Scandinavian Actuarial Journal 2020:2, pages 152-171.
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Søren Fiig Jarner & Michael Preisel. (2017) Long guarantees with short duration: the rolling annuity. Scandinavian Actuarial Journal 2017:6, pages 471-494.
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Guojun Gan & X. Sheldon Lin. (2017) Efficient Greek Calculation of Variable Annuity Portfolios for Dynamic Hedging: A Two-Level Metamodeling Approach. North American Actuarial Journal 21:2, pages 161-177.
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José Da Fonseca & Jonathan Ziveyi. (2017) Valuing variable annuity guarantees on multiple assets. Scandinavian Actuarial Journal 2017:3, pages 209-230.
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Articles from other publishers (16)

Thorsten Moenig. (2021) Efficient valuation of variable annuity portfolios with dynamic programming. Journal of Risk and Insurance 88:4, pages 1023-1055.
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Maciej Augustyniak, Frédéric Godin & Emmanuel Hamel. (2020) A MIXED BOND AND EQUITY FUND MODEL FOR THE VALUATION OF VARIABLE ANNUITIES. ASTIN Bulletin 51:1, pages 131-159.
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X. Sheldon Lin & Shuai Yang. (2020) EFFICIENT DYNAMIC HEDGING FOR LARGE VARIABLE ANNUITY PORTFOLIOS WITH MULTIPLE UNDERLYING ASSETS. ASTIN Bulletin 50:3, pages 913-957.
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Daniel Doyle & Chris Groendyke. (2018) Using Neural Networks to Price and Hedge Variable Annuity Guarantees. Risks 7:1, pages 1.
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Wei Xu, Yuehuan Chen, Conrad Coleman & Thomas F. Coleman. (2018) Moment matching machine learning methods for risk management of large variable annuity portfolios. Journal of Economic Dynamics and Control 87, pages 1-20.
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HASSAN MAZENGERA. (2017) DERIVATION OF A STOCHASTIC LOAN REPAYMENT MODEL FOR VALUING A REVENUE-BASED LOAN CONTRACT. Annals of Financial Economics 12:03, pages 1750013.
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Guojun Gan & Emiliano A. Valdez. (2017) Modeling partial Greeks of variable annuities with dependence. Insurance: Mathematics and Economics 76, pages 118-134.
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Pavel Shevchenko & Xiaolin Luo. (2016) A Unified Pricing of Variable Annuity Guarantees under the Optimal Stochastic Control Framework. Risks 4:3, pages 22.
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Johnny Siu-Hang Li, Andrew C.Y. Ng & Wai-Sum Chan. (2015) Managing financial risk in Chinese stock markets: Option pricing and modeling under a multivariate threshold autoregression. International Review of Economics & Finance 40, pages 217-230.
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Guojun Gan. (2013) Application of data clustering and machine learning in variable annuity valuation. Insurance: Mathematics and Economics 53:3, pages 795-801.
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Maciej Augustyniak, Frédéric Godin & Emmanuel Hamel. (2019) A Mixed Bond and Equity Fund Model for the Valuation of Segregated Fund Policies. SSRN Electronic Journal.
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Olivier Arnaud Le Courtois & Li Shen. (2018) Profit Testing of Profit Sharing Life Insurance Policies in the Presence of Extreme Risks. SSRN Electronic Journal.
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Ou Dang, Mingbin Feng & Mary Hardy. (2017) Efficient Nested Simulation for Conditional Tail Expectation of Variable Annuities. SSRN Electronic Journal.
Crossref
Guojun Gan. (2016) Modeling Partial Greeks of Variable Annuities with Dependence. SSRN Electronic Journal.
Crossref
Pavel V. Shevchenko & Xiaolin Luo. (2016) A Unified Pricing of Variable Annuity Guarantees Under the Optimal Stochastic Control Framework. SSRN Electronic Journal.
Crossref
Guojun Gan. (2013) Application of Data Clustering and Machine Learning in Variable Annuity Valuation. SSRN Electronic Journal.
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