Variable annuity is arguably the most complex individual retirement planning product in the
financial market. Its intricacy stems from a variety of product features including investment …

The valuation of variable annuity guarantees has been studied extensively in the past four
decades. However, almost all the studies focus on the valuation of guarantees embedded in …

This study presents a deep reinforcement learning approach for global hedging of long-term
financial derivatives. A similar setup as in Coleman et al.(2007) is considered with the risk …

This paper introduces a flexible risk decomposition method for life insurance contracts
embedding several risk factors. Hedging can be naturally embedded in the framework …

This paper is concerned with the valuation of equity-linked annuities with mortality risk under
a double regime-switching model, which provides a way to endogenously determine the …

With the increasing complexity of investment options in life insurance, more and more life
insurers have adopted stochastic modeling methods for the assessment and management of …

This paper explores the use of neural networks to reduce the computational cost of pricing
and hedging variable annuity guarantees. Pricing these guarantees can take a considerable …

This paper offers a financial economic perspective on the optimal time (and age) at which
the owner of a Variable Annuity (VA) policy with a Guaranteed Lifetime Withdrawal Benefit …

A well-known approach for the pricing of options under regime-switching models is to use
the regime-switching Esscher transform (also called regime-switching mean-correcting …

This paper examines a class of barrier options, multi‐step barrier options, which can have
any finite number of barriers of any level. We obtain a general, explicit expression for option …