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

Published online by Cambridge University Press:  02 November 2017

Nicolas Privault  and
Xiao Wei
Nicolas Privault
Affiliation:
Division of Mathematical Sciences, School of Physical and Mathematical Sciences, Nanyang Technological University, 21 Nanyang Link Singapore 637371
Xiao Wei*
Affiliation:
China Institute for Actuarial Science & School of Insurance, Central University of Finance and Economics, 39 South College Road, Haidian District, Beijing 100081, P.R. China
*
E-Mail: weixiao@cufe.edu.cn
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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.

Keywords

Variable annuity guaranteed benefitsrisk measuresvalue at riskconditional tail expectationconditional moment matchingadditional earnings91B3097M3065C30
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 48 , Issue 1 , January 2018 , pp. 171 - 196
Copyright
Copyright © Astin Bulletin 2017 

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