Variable annuity is arguably the most complex individual retirement planning product in the
financial market. Its intricacy stems from a variety of product features including investment …

This paper studies the incorporation of an explicit fee in modern tontine schemes and
investigates how it affects the attractiveness of these products from the point of view of both …

Abstract Variable Annuities (VAs) provide policyholders with market participation while
offering additional protection from insurers. In this article, we develop a mathematical model …

We consider the pricing of variable annuities (VAs) with general fee structures under a class
of stochastic volatility models which includes the Heston, Hull-White, Scott, α …

In this paper, a numerical technique is developed to discretize variable-order fractional
Heston differential equation. The proposed strategy is followed by an optimization …

This paper proposes a novel high‐water mark fee structure and investigates its impact on
the marketability of variable annuities. To evaluate the welfare effects of holding a variable …

Variable annuities are enhanced life insurance products that offer policyholders participation
in equity investment with minimum return guarantees. There are two well-established risk …

In this paper, we propose a general valuation framework for option pricing problems related
to skew diffusions based on a continuous-time Markov chain approximation to the …

This paper is an attempt to study fundamentally the valuation of insurance contracts. We start
from the observation that insurance contracts are inherently linked to financial markets, be it …

Three correlated risk factors, namely, financial, mortality and lapse risks, are modelled in an
integrated way to support the valuation of guaranteed minimum accumulation benefits …