
Quantitative Finance and Economics, 2017, 1(2): 125144. doi: 10.3934/QFE.2017.2.125
Research article Special Issue
Export file:
Format
 RIS(for EndNote,Reference Manager,ProCite)
 BibTex
 Text
Content
 Citation Only
 Citation and Abstract
A Spatial Interpolation Framework for Efficient Valuation of Large Portfolios of Variable Annuities
1 Department of Computer Science, University of Toronto, Toronto, ON, M5S 3G4, Canada
2 Department of Mathematics, University of Connecticut, Storrs, Connecticut, 062693009, USA
Received: , Accepted: , Published:
Special Issue: Computational Finance and Insurance
References
1.Azimzadeh P and Forsyth PA (2013) The Existence of Optimal BangBang Controls for GMxB Contracts.
2.Bauer D, Kling A, Russ J (2008) A Universal Pricing Framework For Guaranteed Minimum Benefits in Variable Annuities. ASTIN Bull 38: 621651.
3.Bauer D, Reuss A, Singer D (2012) On the Calculation of the Solvency Capital Requirement Based on Nested Simulations. ASTIN Bull 42: 453499.
4.Bishop CM (2006) Pattern Recognition and Machine Learning (Information Science and Statistics), New Jersey: SpringerVerlag.
5.Boyd S, Vandenberghe L (2004) Convex Optimization, New York: Cambridge University Press.
6.Boyle P, Tian W (2008) The Design of EquityIndexed Annuities. Insur: Math Econ 43: 303315.
7.Boyle PP, Hardy MR (1997) Reserving for Maturity Guarantees: Two Approaches. Insur: Math Econ 21: 113127.
8.Burrough P, McDonnell R, Lloyd C (1998) Principles of Geographical Information Systems, 2 Ed., Oxford University Press.
9.Belanger A, Forsyth P, Labahn G (2009) Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals. Appl Math Finance 16: 451496.
10.Carriere J (1996) Valuation of the EarlyExercise Price for Options Using Simulations and Nonparametric Regression. Insur: Math Econ 19: 19–30.
11.Cathcart M, Morrison S (2009) Variable Annuity Economic Capital: the LeastSquares Monte Carlo Approach. Life & Pensions 36–40.
12.Chen Z, Forsyth P (2008) A Numerical Scheme for the Impulse Control Formulation of Pricing Variable Annuities with a Guaranteed MinimumWithdrawal Benefit (GMWB). Numer Math 109: 535569.
13.Chen Z, Vetzal K, Forsyth P (2008) The Effect of Modelling Parameters on the Value of GMWB Guarantees. Insur: Math Econ 43: 165173.
14.Chi Y, Lin XS (2012) Are Flexible Premium Variable Annuities Underpriced? ASTIN Bull 42: 559574.
15.Chiles JP, Delfiner P (1999) Geostatistics, Modelling Spatial Uncertainty, WileyInterscience.
16.Coleman TF, Li Y, Patron MC (2006) Hedging Guarantees in Variable Annuities under Both Equity and Interest Rate Risks. Insur: Math Econ 38: 215228.
17.Cressie NAC (1993) Statistics for Spatial Data, New York: John Wiley & Sons, Inc.
18.Dai M, Kwok YK, Zong J (2008) Guaranteed Minimum Withdrawal Benefit in Variable Annuities. J Math Finance 18: 595611.
19.Daul S, Vidal E (2009) Replication of Insurance Liabilities. RiskMetrics J 9: 7996.
20.Dembo R, Rosen D (1999) The Practice of Portfolio Replication: A Practical Overview of Forward and Inverse Problems. Ann Oper Res 85: 267284.
21.d'Halluin Y, Forsyth P, Vetzal K (2005) Robust Numerical Methods for Contingent Claims Under Jump Diffusion Processes. IMA J Numer Anal 25: 6592.
22.Feng R, Cui Z, Li P (2016) Nested Stochastic Modeling for Insurance Companies. Technical report, The Society of Actuaries.
23.Fox J (2013) A Nested Approach to Simulation VaR Using MoSes. Insights: Financial Modelling, 17.
24.Gan G (2013) Application of Data Clustering and Machine Learning in Variable Annuity Valuation. Insur: Math Econ 53: 795801.
25.Gan G (2015) Application of Metamodeling to the Valuation of Large Variable Annuity Portfolios, In: Proceedings of the 2015 Winter Simulation Conference, 11031114.
26.Gan G, Lin XS (2015) Valuation of Large Variable Annuity Portfolios Under Nested Simulation: A Functional Data Approach. Insur: Math Econ 62: 138150.
27.Gan G, Ma C, Wu J (2007) Data Clustering: Theory, Algorithms and Applications, Philadelphia: SIAM Press.
28.Gerber H, Shiu E, Yang H (2012) Valuing EquityLinked Death Benefits and Other Contingent Options: A Discounted Density Approach. Insur: Math Econ 51: 7392.
29.Hardy M (2003) Investment Guarantees: Modeling and Risk Management for EquityLinked Life Insurance, New Jersey: John Wiley & Sons, Inc.
30.Huang Y, Forsyth P (2011) Analysis of A Penalty Method for Pricing a Guaranteed Minimum Withdrawal Benefit (GMWB). IMA J Numer Anal 32: 320351.
31.Hull JC (2006) Options, Futures, and Other Derivatives, 6 Ed., New Jersey.
32.IRI (2011) The 2011 IRI fact book, Insured Retirement Institute.
33.Krige D (1951) A Statistical Approach to Some Mine Valuations and Allied Problems at the Witwatersrand. Master's thesis, University of Witwatersrand.
34.Lin X, Tan K, Yang H (2008) Pricing Annuity Guarantees under a RegimeSwitching Model. North Am Actuar J 13: 316338.
35.Longstaff F, Schwartz E (2001) Valuing American Options by Simulation: A Simple LeastSquares Approach. Rev Financ Stud 14: 113147.
36.Matheron G (1963) Principles of Geostatistics. Econ Geol 58: 12461266.
37.McKay M, Beckman R, Conover WJ (1979) A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code. Technometrics 21: 239245.
38.Milevsky M, Salisbury T (2006) Financial Valuation of Guaranteed Minimum Withdrawal Benefits. Insur: Math Econ 38: 2138.
39.Moenig T, Bauer D (2011) Revisiting the RiskNeutral Approach to Optimal Policyholder Behavior: A study of Withdrawal Guarantees in Variable Annuities, In: 12th Symposium on Finance, Banking and Insurance, Germany.
40.Oechslin J, Aubry O, Aellig M, Kappeli A, Bronnimann D, Tandonnet A, Valois G (2007) Replicating Embedded Options in Life Insurance Policies. Life & Pensions 4752.
41.Reynolds C, Man S (2008) Nested Stochastic Pricing: The Time Has Come. Prod Matters! Society of Actuaries 71: 1620.
42.Shepard D (1968) A Twodimensional Interpolation Function for Irregularlyspaced Data, In: Proceedings of the 1968 23rd ACM National Conference, New York: ACM, 517524.
43.Stein E, Shakarchi R (2009) Real Analysis: Measure Theory, Integration, and Hilbert Spaces, Princeton University Press.
44.TGA (2013) Variable AnnuitiesAn Analysis of Financial Stability. The Geneva Association.
45.Ulm E (2006) The Eect of the Real Option to Transfer on the Value Guaranteed Minimum Death Benefit. J Risk Insur 73: 4369.
Copyright Info: © 2017, Seyed Amir Hejazi, et al., licensee AIMS Press. This is an open access article distributed under the terms of the Creative Commons Attribution Licese (http://creativecommons.org/licenses/by/4.0))