Модели амортизације зајма исподгодишњим варијабилним ануитетима // Models of loan amortization under annual variable annuities
نویسندگان
چکیده
منابع مشابه
Practical Considerations in Managing Variable Annuities
Variable annuities have grown tremendously in recent years, offering life insurers significant growth opportunities. These equity and interest rate structured products offer a broad range of guarantees to the policyholders, and insurers must manage their risks. The insurer’s risk management program must consider modeling and implementation challenges beyond that of the standard capital market a...
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We develop a singular stochastic control model for pricing variable annuities with the guaranteed minimum withdrawal benefit. This benefit promises to return the entire initial investment, with withdrawals spread over the term of the contract, irrespective of the market performance of the underlying asset portfolio. A contractual withdrawal rate is set and no penalty is imposed when the policyh...
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Accurately quantifying and robustly hedging options embedded in the guarantees of variable annuities is a crucial task for insurance companies in preventing excessive liabilities. Due to sensitivities of the benefits to tails of the account value distribution, a simple Black-Scholes model is inadequate. A model which realistically describes the real world price dynamics over a long time horizon...
متن کاملHedging Guarantees in Variable Annuities Under Both Equity and Interest Rate Risks
Effective hedging strategies for variable annuities are crucial for insurance companies in preventing potentially large losses. We consider discrete hedging of options embedded in guarantees with ratchet features, under both equity (including jump) risk and interest rate risk. Since discrete hedging and the underlying model considered lead to an incomplete market, we compute hedging strategies ...
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We present the regression-based Monte Carlo simulation algorithms for solving the stochastic control models associated with pricing and hedging of the Guaranteed Lifelong Withdrawal Benefit (GLWB) in variable annuities, where the dynamics of the underlying fund value is assumed to evolve according to the stochastic volatility model. The GLWB offers a lifelong withdrawal benefit even when the po...
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ژورنال
عنوان ژورنال: ACTA ECONOMICA
سال: 2013
ISSN: 1512-858X
DOI: 10.7251/ace1319067k