FAST COMPUTATION OF RISK MEASURES FOR VARIABLE ANNUITIES WITH ADDITIONAL EARNINGS BY CONDITIONAL MOMENT MATCHING

Nicolas Privault and Xiao Wei

ASTIN Bulletin, 2018, vol. 48, issue 1, 171-196

Abstract: We propose an approximation scheme for the computation of the risk measures of guaranteed minimum maturity benefits (GMMBs) and guaranteed minimum death benefits (GMDBs), based on the evaluation of single integrals under conditional moment matching. This procedure is computationally efficient in comparison with standard analytical methods while retaining a high degree of accuracy, and it allows one to deal with the case of additional earnings and the computation of related sensitivities.

Date: 2018
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