Efficient valuation of joint life variable annuities with guaranteed minimum death benefits

Jiayi Xie, Zhimin Zhang and Zhenyu Cui

Mathematics and Computers in Simulation (MATCOM), 2025, vol. 236, issue C, 135-153

Abstract: In this paper, we introduce an efficient valuation method for variable annuities (VAs) with guaranteed minimum death benefits (GMDBs), where the benefits depend on the combined survival status of two lives, such as for a married couple. We assume a general exponential Lévy process for the risky asset price and propose an innovative combination of bivariate Laguerre series expansions with the projection (PROJ) method for valuing joint life VAs. We derive explicit approximation formulas for three types of GMDB riders. Numerical examples demonstrate that the proposed method is both highly accurate and computationally efficient.

Keywords: Variable annuities; Joint life status; Laguerre series; Projection method (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:236:y:2025:i:c:p:135-153

DOI: 10.1016/j.matcom.2025.04.001

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