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 article presents a review of structural models of policyholder behavior in life insurance.
We first discuss underlying drivers of policyholder behavior in theory and survey the …

The financial guarantees embedded in variable annuity contracts expose insurers to a wide
range of risks, lapse risk being one of them. When policyholders' lapse behavior differs from …

This paper proposes a technique to derive the optimal surrender strategy for a variable
annuity (VA) as a function of the underlying fund value. This approach is based on splitting …

Abstract Variable Annuities (VAs) provide policyholders with market participation while
offering additional protection from insurers. In this article, we develop a mathematical model …

The Chicago Board of Options Exchange (CBOE) advocates linking variable annuity (VA)
fees to its trademark VIX index in a recent white paper. It claims that the VIX-linked fee …

This work studies the valuation and optimal surrender of variable (equity-linked) annuities
under a Lévy-driven equity market with mortality risk. We consider a practical periodic fee …

We consider the pricing of variable annuities (VAs) with general fee structures under a class
of stochastic volatility models which includes the Heston, Hull-White, Scott, α …

Section 1035 of the current US tax code allows policyholders to exchange their variable
annuity policy for a similar product while maintaining tax‐deferred status. When the variable …

In this paper, we consider the risk–return trade-off for variable annuities in a Black–Scholes
setting. Our analysis is based on a novel explicit allocation of initial wealth over the …