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 …

Variable annuity is a retirement planning product that allows policyholders to invest their
premiums in equity funds. In addition to the participation in equity investments, the majority …

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 …

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

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 …

In this paper we explore an identity in distribution of hitting times of a finite variation process
(integrated geometric Brownian motion) and a diffusion process (geometric Brownian motion …

Exponential functionals of Brownian motion have been extensively studied in financial and
insurance mathematics due to their broad applications, for example, in the pricing of Asian …

Variable annuities (VAs) are popularly traded around the world. Thus, the risk metrics for
VAs are critical in risk management, reserves, and risk-based capital calculation for …

We present an efficient valuation approach for guaranteed minimum maturity benefits
(GMMBs) embedded in variable annuity (VA) contracts in a regime-switching jump diffusion …