The paper outlines Monte-Carlo simulation procedures for the pricing of swaptions under the discrete-time arbitrage-free Nelson-Siegel (DTAFNS) model of Eghbalzadeh et al. (2022). In particular, the forward measure dynamics of term structure factors are derived, leading to a semi-analytic...

The current paper provides a general approach to construct distortion operators that can price financial and insurance risks. Our approach generalizes the Wang (2000) transform and recovers multiple distortions proposed in the literature as particular cases. This approach enables designing...

Variable annuity policies are typically issued on mutual funds invested in both fixed income and equity asset classes. However, due to the lack of specialized models to represent the dynamics of fixed income fund returns, the literature has primarily focused on studying long-term investment...