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 …

In this paper, we analyze a form of equity-linked Guaranteed Minimum Death Benefit
(GMDB), whose payoff depends on a dollar cost averaging (DCA) style periodic investment …

Variable annuities with guaranteed minimum lifetime withdrawal benefits (VA/GLWB) offer
retirees longevity protection, exposure to equity markets, and access to flexible withdrawals …

The Chicago Board of Options Exchange (CBOE) advocates linking variable annuity (VA)
fees to its trademark VIX index in a recent white paper. It claims that the VIX-linked fee …

Metamodeling techniques have recently been proposed to address the computational
issues related to the valuation of large portfolios of variable annuity contracts. However, it is …

A variable annuity is a tax-deferred retirement vehicle created to address concerns that
many people have about outliving their assets. In the past decade, the rapid growth of …

In this paper, we recall actuarial and financial applications of sums of dependent random
variables that follow a non-Gaussian mean-reverting process and contemplate distribution …

This paper explores the use of neural networks to reduce the computational cost of pricing
and hedging variable annuity guarantees. Pricing these guarantees can take a considerable …

This paper offers a financial economic perspective on the optimal time (and age) at which
the owner of a Variable Annuity (VA) policy with a Guaranteed Lifetime Withdrawal Benefit …

Variable annuities are long-term investment vehicles that have grown rapidly in popularity
recently. One major feature of variable annuities is that they contain guarantees. The …