Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets

• Autorzy: Guojun Gan , Emiliano A. Valdez
• Języki publikacji: EN

Abstrakty

EN

Metamodeling techniques have recently been proposed to address the computational issues related to the valuation of large portfolios of variable annuity contracts. However, it is extremely diffcult, if not impossible, for researchers to obtain real datasets frominsurance companies in order to test their metamodeling techniques on such real datasets and publish the results in academic journals. To facilitate the development and dissemination of research related to the effcient valuation of large variable annuity portfolios, this paper creates a large synthetic portfolio of variable annuity contracts based on the properties of real portfolios of variable annuities and implements a simple Monte Carlo simulation engine for valuing the synthetic portfolio. In addition, this paper presents fair market values and Greeks for the synthetic portfolio of variable annuity contracts that are important quantities for managing the financial risks associated with variable annuities. The resulting datasets can be used by researchers to test and compare the performance of various metamodeling techniques.

Słowa kluczowe

EN

Monte Carlo; multivariate Black-Scholes; metamodeling; variable annuity; portfolio valuation

Kategorie tematyczne

• 91G60: Numerical methods (including Monte Carlo methods)
• 65C05: Monte Carlo methods

• Wydawca: De Gruyter Open
• Czasopismo: Dependence Modeling
• Rocznik: 2017
• Tom: 5
• Numer: 1
• Strony: 354-374

Daty

wydano

2017-12-20

otrzymano

2017-09-19

zaakceptowano

2017-12-05

online

2017-12-29

Twórcy

autor

Guojun Gan

• 06269,

autor

Emiliano A. Valdez

• 06269,

Identyfikatory

DOI

10.1515/demo-2017-0021