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 …

The quantitative modeling of complex systems of interacting risks is a fairly recent
development in the financial and insurance industries. Over the past decades, there has …

Optimal and safety-critical control are fundamental problems for stochastic systems, and are
widely considered in real-world scenarios such as robotic manipulation and autonomous …

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 …

Risk assessment on a stochastic basis has become prevalent in financial reporting due to
increasingly sophisticated regulatory requirements. Many applications require nested …

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

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 …

Spectral expansion techniques have been extensively exploited for the pricing of exotic
options. In this paper, we present novel applications of spectral methods for the quantitative …

Monte Carlo simulations—in particular, nested Monte Carlo simulations—are commonly
used in variable annuity (VA) risk modeling. However, the computational burden associated …

In both the past literature and industrial practice, it was often implicitly used without any
justification that the classical strong law of large numbers applies to the modeling of equity …