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 stochastic modeling and determination of reserves and risk capitals for variable annuity guarantee products are relatively new developments in the insurance industry. The current market practice is largely based on Monte Carlo simulations, which have great engineering flexibility but the...