The nested-simulation is commonly used for calculating the predictive distribution of the total variable annuity (VA) liabilities of large VA portfolios. Due to the large numbers of policies, inner-loops and outer-loops, running the nested-simulation for a large VA portfolio (100K+) is extremely...

Variable annuities are equity-linked annuity products that have rapidly grown in popularity around the world in recent years. Research up to date on variable annuity largely focuses on the valuation of guarantees embedded in a single variable annuity contract. However, methods developed for...