Please use this identifier to cite or link to this item: http://hdl.handle.net/10077/15141
Title: Variable Annuities with State-Dependent Fees: Valuation, Numerical Implementation, Comparative Static Analysis and Model Risk
Authors: Bacinello, Anna Rita
Zoccolan, Ivan
Keywords: Variable annuitiesState-dependent feesSurrender optionLSMCModel risk
Issue Date: 2017
Publisher: EUT Edizioni Università di Trieste
Source: Anna Rita Bacinello, Ivan Zoccolan, "Variable Annuities with State-Dependent Fees: Valuation, Numerical Implementation, Comparative Static Analysis and Model Risk", Trieste, EUT Edizioni Università degli Studi di Trieste, 2017, 33 p.
Series/Report no.: DEAMS Research Paper Series 
DEAMS Research Paper Series 2017, 1
Abstract: In this paper we consider a variable annuity which provides guarantees at death and maturity financed through the application of a state-dependent fee structure, as defined first in Bae and Ko (2013) and extensively analysed in Bernard et al. (2014) and MacKay et al. (2017). We propose a quite general valuation model for such guarantees, along the lines of Bacinello et al. (2011). We then analyse numerically the interaction between fee rates, death/maturity guarantees, fee thresholds and surrender penalties under alternative model assumptions and policy holder behaviours. This allows us to get also some interesting insights into the model risk. Since the assumptions adopted in the numerical analysis are not at all trivial, we resort to Monte Carlo and Least Squares Monte Carlo methods of LSMC valuation algorithm.
URI: http://hdl.handle.net/10077/15141
eISBN: 978-88-8303-856-3
Appears in Collections:DEAMS Research Paper Series 2017, 1

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