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An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios

100%

Gan G., Valdez E. A.

Dependence Modeling

2016

tom 4

nr 1

Variable annuities contain complex guarantees, whose fair market value cannot be calculated in closed form. To value the guarantees, insurance companies rely heavily on Monte Carlo simulation, which is extremely computationally demanding for large portfolios of variable annuity policies. Metamodeling approaches have been proposed to address these computational issues. An important step of metamodeling approaches is the experimental design that selects a small number of representative variable annuity policies for building metamodels. In this paper, we compare empirically several multivariate experimental design methods for the GB2 regression model, which has been recently discovered to be an attractive model to estimate the fair market value of variable annuity guarantees. Among the experimental design methods examined, we found that the data clustering method and the conditional Latin hypercube sampling method produce the most accurate results.

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

100%

Gan G., Valdez E. A.

Dependence Modeling

2017

tom 5

nr 1

354-374

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.

Ograniczanie wyników

2 Dependence Modeling

2 Gan G.

2 Valdez E. A.

1 2017

1 2016

Wyniki wyszukiwania

An empirical comparison of some experimental designs for the valuation of large variable annuity portfolios

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