The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed benefits. The current market practice of Monte Carlo simulation often requires intensive computations, which can be very costly for insurance companies to implement and take so...

The Chicago Board of Options Exchange (CBOE) advocates linking variable annuity (VA) fees to its trademark VIX index in a white paper (CBOE, 2013a, b). It claims that the VIX-linked fee structure has several advantages over the traditional fixed percentage fee structure. However, the evidence...

Exponential functionals of Brownian motion have been extensively studied in nancial and insurance mathematics due to their broad applications, for example, in the pricing of Asian options. The Black-Scholes model is appealing because of mathematical tractability, yet empirical evidence shows...