Efficient willow tree method for variable annuities valuation and risk management
Abstract
null null Variable annuities (VAs) with various guarantees are popular retirement products in the past decades. However, due to the sophistication of the embedded guarantees, most existing methods only focus on the one of embedded guarantees underlying one specified stochastic model. The method to evaluate VAs with all guarantees and manage its risk is very limited, except for the Monte Carlo method. In this paper, we propose an efficient willow...
Paper Details
Title
Efficient willow tree method for variable annuities valuation and risk management
Published Date
Mar 1, 2020
Volume
68
Pages
101429
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