Variable Annuities with State-Dependent Fees
| Autor: | Ivan Zoccolan, Anna Rita Bacinello |
|---|---|
| Přispěvatelé: | Marco Corazza, Marìa Durbàn, Aurea Grané, Cira Perna, Marilena Sibillo, Bacinello, ANNA RITA, Zoccolan, Ivan |
| Rok vydání: | 2018 |
| Předmět: |
Variable annuities
State-dependent fees Surrender option LSMC State-dependent fee Actuarial science Variable annuitie Computer science 010102 general mathematics 01 natural sciences Regression 010104 statistics & probability Annuity (American) State dependent Special care Surrender 0101 mathematics Valuation (finance) |
| Zdroj: | Mathematical and Statistical Methods for Actuarial Sciences and Finance ISBN: 9783319898230 |
| DOI: | 10.1007/978-3-319-89824-7_13 |
| Popis: | In this paper we consider a variable annuity with guarantees at death and maturity financed through the application of state-dependent fees. We define a general valuation model for them, and propose to apply the LSMC approach in order to analyse the interaction between fee rates, death/maturity guarantees, fee thresholds and surrender penalties under alternative model assumptions and policyholder behaviours. However, special care is needed in the numerical implementation of this approach, due to the shape of the surrender region. We can stem the numerical errors arising in the regression step by using suitable arrangements of the LSMC valuation algorithm. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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