Search Results - subject:"variable annuities"

Analytic valuation of guaranteed lifetime withdrawal benefits with a modified ratchet

Harcourt, Darcy; Daglish, Toby; Ulm, Eric R. - In: Insurance : mathematics and economics 118 (2024), pp. 59-71

Persistent link: https://www.econbiz.de/10015067006

Machine learning of surrender : optimality and humanity

Jia, Bowen; Wang, Ling; Wong, Hoi Ying - In: The journal of risk & insurance 91 (2024) 4, pp. 915-942

Persistent link: https://www.econbiz.de/10015121212

Pseudo-model-free hedging for variable annuities via deep reinforcement learning

Chong, Wing Fung; Cui, Haoen; Li, Yuxuan - In: Annals of actuarial science : publ. by the Institute of … 17 (2023) 3, pp. 503-546

Persistent link: https://www.econbiz.de/10014436787

Risk allocation through shapley decompositions, with applications to variable annuities

Godin, Frédéric; Hamel, Emmanuel; Gaillardetz, Patrice; … - In: ASTIN bulletin : the journal of the International … 53 (2023) 2, pp. 311-331

Persistent link: https://www.econbiz.de/10014320258

Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models

Ai, Meiqiao; Zhang, Zhimin; Zhu, Dan - In: Scandinavian actuarial journal 2023 (2023) 4, pp. 330-358

Persistent link: https://www.econbiz.de/10014336388

Dynamic importance allocated nested simulation for variable annuity risk measurement

Dang, Ou; Feng, Mingbin; Hardy, Mary Rosalyn - In: Annals of actuarial science : publ. by the Institute of … 16 (2022) 2, pp. 319-348

Persistent link: https://www.econbiz.de/10013342141

Using neural networks to price and hedge variable annuity guarantees

Doyle, Daniel; Groendyke, Chris - In: Risks 7 (2019) 1, pp. 1-19

This paper explores the use of neural networks to reduce the computational cost of pricing and hedging variable annuity guarantees. Pricing these guarantees can take a considerable amount of time because of the large number of Monte Carlo simulations that are required for the fair value of these...

Persistent link: https://www.econbiz.de/10013200420

The move towards riskier pensions : the importance of mortality

Balter, Anne G.; Kallestrup-Lamb, Malene; Rangvid, Jesper - 2019

Persistent link: https://www.econbiz.de/10012316914

Using neural networks to price and hedge variable annuity guarantees

Doyle, Daniel; Groendyke, Chris - In: Risks : open access journal 7 (2019) 1/2, pp. 1-19

Persistent link: https://www.econbiz.de/10012018740

Was the U.S. life insurance industry in danger of systemic risk by using derivative hedging prior to the 2008 financial crisis?

Baranoff, Etti G.; Brockett, Patrick L.; Sager, Thomas W.; … - In: Quantitative finance and economics 3 (2019) 1, pp. 145-164

Persistent link: https://www.econbiz.de/10012176449