کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077216 1374122 2011 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Valuing variable annuity guarantees with the multivariate Esscher transform
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Valuing variable annuity guarantees with the multivariate Esscher transform
چکیده انگلیسی

Variable annuities are usually sold with a range of guarantees that protect annuity holders from some downside market risk. Although it is common to see variable annuity guarantees written on multiple funds, existing pricing methods are, by and large, based on stochastic processes for one single asset only. In this article, we fill this gap by developing a multivariate valuation framework. First, we consider a multivariate regime-switching model for modeling returns on various assets at the same time. We then identify a risk-neutral probability measure for use with the model under consideration. This is accomplished by a multivariate extension of the regime-switching conditional Esscher transform. We further extend our results to the situation when the guarantee being valued is linked to equity indexes measured in foreign currencies. In particular, we derive a probability measure that is risk-neutral from the perspective of domestic investors. Finally, we illustrate our results with a hypothetical variable annuity guarantee.

► We develop a multivariate regime-switching model for valuing variable annuity guarantees. ► The risk-neutral measure is identified by conditional Esscher transform. ► The guarantee can be linked to equity indexes measured in foreign currencies.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 49, Issue 3, November 2011, Pages 393-400
نویسندگان
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