Global ETD Search
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Showing 1 to 8 of 8 for “"Variable annuities"”.
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Basis Risk in Variable Annuities
… and practical analysis of basis risk in the U.S. variable annuity market and examines effective fund mapping strategies to mitigate the level of basis risk while controlling for the associated transaction costs. Variable annuities are personal savings and investment products with long-term …
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Hedging Cost Analysis of Put Option with Applications to Variable Annuities
Variable annuities (VA) are equity-linked annuity contracts which provide the opportunity for policy-holders to benefit from financial markets appreciation and at the mean time provide protection from the downside risks of the markets. They have been overshadowing traditional fixed annuities to …
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Variable annuity guaranteed lifetime withdrawal benefit and decentralized insurance
… we mainly consider two aspects related to variable annuity guaranteed lifetime withdrawal benefit and peer-to-peer risk sharing. In the first part of this thesis, we study the variable annuity with guaranteed benefits. We model the guaranteed lifetime withdrawal benefit (GLWB) with step-up …
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Variable Annuity -- Laps Behavior
… exploration of mathematical models for Variable Annuities (VAs), focusing on the dynamics of policyholder behavior and the implications for pricing and risk management. VAs are complex financial instruments offering various guarantees, such as minimum death and living benefits, …
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Surrogate Model Assisted Nested Simulation with Applications to Variable Annuity Portfolio Valuation and Hedging
Variable annuities (VAs) are equity-linked annuities with embedded investment guarantees. Their long-term security and tax deferred features have made them one of the major insurance products in the world. Nowadays, many insurance companies are managing large VA portfolios that contain hundreds of …
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Some optimal control problems in financial and actuarial mathematics
… which respectively study the fee structures in variable annuities, pension management, and the optimal insurance strategies for policyholders of a mutual insurance company (MIC). In the last chapter, we present an optimal stopping problem which concerns with finding the optimal time to sell or …