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

In this article, we focus on death-linked contingent claims (GMDBs) paying a random
financial return at a random time of death in the general case where financial returns follow …

A variable annuity is a modern life insurance product that offers its policyholders
participation in investment with various guarantees. To address the computational challenge …

Although the finance literature has devoted a lot of research into the development of
advanced models for improving the pricing and hedging performance, there has been much …

This special issue of the Journal of Demographic Economics contains 10 contributions to the
academic literature all dealing with longevity risk and capital markets. Draft versions of the …

This article investigates the pricing of variable annuity guarantees, with particularly
emphasising on the Guaranteed Minimum Accumulation Benefit (GMAB) with several …

This paper devises a flexible assessment framework of a catalogue of existing retirement
income products which include, account-based pensions, group self-annuities and variable …

The Guaranteed Minimum Withdrawal Benefit (GMWB), an adjunct incorporated within
variable annuities, commits to reimbursing the entire initial investment regardless of the …

We study an optimal stopping problem with an unbounded, time-dependent and
discontinuous reward function. This problem is motivated by the pricing of a variable annuity …

Equity-linked insurance products have gained popularity in recent years as retirement
products with investment benefits. However, the design and pricing of these products for …