Description: This abstract describes a paper that considers the valuation of a guaranteed annuity option (GAO) under a generalized modeling set-up where both interest and mortality risks are stochastic and correlated.

Description: We propose an age-shift model to modify the LC model and deal with the problem of parameters. The proposed method attains smaller estimation errors with respect to mean absolute percentage error or mean square error. We also apply the proposed age-shift model to the mortality rates of these four countries to evaluate the longevity risk in annuity products by measuring life expectancy.

Description: This abstract describes a paper that provides a quantitative framework in which two risk management strategies are mathematically formulated.

Description: This abstract describes a paper that develops a risk-neutral valuation methodology that takes different tax structures into consideration and applies it to a simplified withdrawal guarantee as well as a representative empirical Variable Annuity contract.

Description: This abstract describes a paper that considers the Guaranteed Minimum Withdrawal Benefits (GMWB) variable annuity rider under a static withdrawal strategy but allowing for early surrenders.

Description: Diverse Risks 2016 Call for Essays

Description: This abstract describes a paper that analyzes the sample size effects on the estimation of the beta.

Description: This abstract describes a study that presents a hypothetical example of a UK term annuity firm and studies its solvency over the period 1985-2010 under various economic capital calculation approaches.

Description: This paper is an analysis of the mortality rates of beneficiaries of charitable gift annuities.

Description: This abstract describes a paper that proposes a change to the variable annuity fee structure that would lower fee rates without reducing the insurer's profit.