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In this paper we present a numerical valuation of variable annuities with combined Guaranteed Minimum Withdrawal Benefit (GMWB) and Guaranteed Minimum Death Benefit (GMDB) under optimal policyholder behaviour solved as an optimal stochastic…

Computational Finance · Quantitative Finance 2015-04-10 Xiaolin Luo , Pavel V. Shevchenko

A variable annuity contract with Guaranteed Minimum Withdrawal Benefit (GMWB) promises to return the entire initial investment through cash withdrawals during the policy life plus the remaining account balance at maturity, regardless of the…

Pricing of Securities · Quantitative Finance 2014-11-03 Xiaolin Luo , Pavel Shevchenko

A variable annuity contract with Guaranteed Minimum Withdrawal Benefit (GMWB) promises to return the entire initial investment through cash withdrawals during the contract plus the remaining account balance at maturity, regardless of the…

Pricing of Securities · Quantitative Finance 2017-01-17 Pavel V. Shevchenko , Xiaolin Luo

This paper proposes a market consistent valuation framework for variable annuities with guaranteed minimum accumulation benefit, death benefit and surrender benefit features. The setup is based on a hybrid model for the financial market and…

Mathematical Finance · Quantitative Finance 2019-05-24 Laura Ballotta , Ernst Eberlein , Thorsten Schmidt , Raghid Zeineddine

In this paper, we study the price of Variable Annuity Guarantees, especially of Guaranteed Annuity Options (GAO) and Guaranteed Minimum Income Benefit (GMIB), and this in the settings of a derivative pricing model where the underlying spot…

Pricing of Securities · Quantitative Finance 2012-04-04 Griselda Deelstra , Grégory Rayée

We consider the pricing of variable annuities (VAs) with general fee structures under popular stochastic volatility models such as Heston, Hull-White, Scott, $\alpha$-Hypergeometric, $3/2$, and $4/2$ models. In particular, we analyze the…

Computational Finance · Quantitative Finance 2022-08-01 Zhenyu Cui , Anne MacKay , Marie-Claude Vachon

Variable annuities, as a class of retirement income products, allow equity market exposure for a policyholder's retirement fund with electable additional guarantees to limit the downside risk of the market. Management fees and guarantee…

Pricing of Securities · Quantitative Finance 2017-05-12 Jin Sun , Pavel V. Shevchenko , Man Chung Fung

In this paper, we are concerned with the valuation of Guaranteed Annuity Options (GAOs) under the most generalised modelling framework where both interest and mortality rates are stochastic and correlated. Pricing these type of options in…

Pricing of Securities · Quantitative Finance 2017-07-05 Raj Kumari Bahl , Sotirios Sabanis

A variable annuity is an equity-linked financial product typically offered by insurance companies. The policyholder makes an upfront payment to the insurance company and, in return, the insurer is required to make a series of payments…

Pricing of Securities · Quantitative Finance 2019-11-25 Riley Jones , Adriana Ocejo

In general, the pricing of variable annuities with guarantees can be done by solving the corresponding optimal stochastic control problem if the contract withdrawal strategy is assumed to be optimal. This is typically solved as a dynamic…

Pricing of Securities · Quantitative Finance 2026-05-27 Nicolas Langrené , Xiaolin Luo , Pavel V. Shevchenko , Ruiyi Zhang

In this paper we investigate price and Greeks computation of a Guaranteed Minimum Withdrawal Benefit (GMWB) Variable Annuity (VA) when both stochastic volatility and stochastic interest rate are considered together in the Heston Hull-White…

Computational Finance · Quantitative Finance 2019-07-23 Ludovic Goudenège , Andrea Molent , Antonino Zanette

We develop a pricing rule for life insurance under stochastic mortality in an incomplete market by assuming that the insurance company requires compensation for its risk in the form of a pre-specified instantaneous Sharpe ratio. Our…

Pricing of Securities · Quantitative Finance 2008-12-02 Virginia R. Young

Variable annuities with Guaranteed Minimum Withdrawal Benefits (GMWB) entitle the policy holder to periodic withdrawals together with a terminal payoff linked to the performance of an equity fund. In this paper, we consider the valuation of…

Pricing of Securities · Quantitative Finance 2023-08-08 Claudio Fontana , Francesco Rotondi

We construct a binomial model for a guaranteed minimum withdrawal benefit (GMWB) rider to a variable annuity (VA) under optimal policyholder behaviour. The binomial model results in explicitly formulated perfect hedging strategies funded…

Pricing of Securities · Quantitative Finance 2016-07-07 Cody B. Hyndman , Menachem Wenger

In this paper we consider the pricing of variable annuities (VAs) with guaranteed minimum withdrawal benefits. We consider two pricing approaches, the classical risk-neutral approach and the benchmark approach, and we examine the associated…

Pricing of Securities · Quantitative Finance 2019-06-05 Jin Sun , Kevin Fergusson , Eckhard Platen , Pavel V. Shevchenko

To make medium- and long-term insurance products attractive, it is essential to enable participation in stock market returns. However, to eliminate downside risk, guarantees must be included, which naturally leads to the challenge of…

Mathematical Finance · Quantitative Finance 2025-10-09 Raquel M. Gaspar , Thorsten Schmidt

This paper considers the pricing of equity-linked life insurance contracts with death and survival benefits in a general model with multiple stochastic risk factors: interest rate, equity, volatility, unsystematic and systematic mortality.…

Pricing of Securities · Quantitative Finance 2021-11-03 Karim Barigou , Lukasz Delong

In a market with stochastic volatility and jumps, we consider a VIX-linked fee structure for variable annuity contracts with guaranteed minimum withdrawal benefits (GMWB). Our goal is to assess the effectiveness of the VIX-linked fee…

Risk Management · Quantitative Finance 2018-04-13 Michael A. Kouritzin , Anne MacKay

The state-of-the-art proposes Life Care Annuities, that have been recently designed as variable annuity contracts with Long-Term Care payouts and Guaranteed Lifelong Withdrawal Benefits. In this paper, we propose more general features for…

Computational Finance · Quantitative Finance 2024-05-10 G. Apicella , A. Molent , M. Gaudenzi

This paper investigates the valuation of variable annuity contracts with an early surrender option under non-Markovian models. Moreover, policyholders are provided with guaranteed minimum maturity and death benefits to protect against the…

Computational Finance · Quantitative Finance 2026-04-23 Wenyuan Li , Haoqi Lyu
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