Pricing and Hedging Variable Annuities

Abdou Kélani () and François Quittard-Pinon ()
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Abdou Kélani: EMLYON Business School, CEFRA
François Quittard-Pinon: EMLYON Business School, CEFRA

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2014, pp 121-124 from Springer

Abstract: Abstract The aim of this paper is to present a general method to value, hedge and assess risk for a subclass of VA contracts in a Lévy market. This subclass contains Guaranteed Minimum Maturity Benefit (GMMB), Guaranteed Minimum Death Benefit (GMDB), and Guaranteed Minimum Accumulation Benefit (GMAB) that has a cliquet-style option in its design. The suggested unifying method is based on the generalized Fourier transform and gives general quasi-closed form solutions for a large class of Lévy processes. A numerical analysis that uses a Kou process illustrates the whole procedure.

Keywords: Variable annuities; Lévy processes (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-05014-0_28

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DOI: 10.1007/978-3-319-05014-0_28

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