Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model
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| Tag | 1 | 2 | Value |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20170035084 | ||
| 003 | MAP | ||
| 005 | 20171122122211.0 | ||
| 008 | 171031e20170904esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | 1 | $0MAPA20170005490$aCuí, Zhenyu | |
| 245 | 1 | 0 | $aVariable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model$cZhenyu Cui, Runhuan Feng, Anne MacKay |
| 520 | $aThe 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 structure has several advantages over the traditional fixed percentage fee structure. However, the evidence presented is largely based on nonparametric extrapolation of historical data on market prices. Our work lays out a theoretical basis with a parametric model to analyze the impact of the VIX-linked fee structure and to verify some claims from the CBOE. In a Heston-type stochastic volatility setting, we jointly model the dynamics of an equity index (underlying the value of VA policyholders¿ accounts) and the VIX index. In this framework, we price a guaranteed minimum maturity benefit with VIX-linked fees. Through numerical examples, we show that the VIX-linked fee reduces the sensitivity of the insurer's liability to market volatility when compared to a VA with the traditional fixed fee rate. | ||
| 650 | 4 | $0MAPA20080586447$aModelo estocástico | |
| 650 | 4 | $0MAPA20080602437$aMatemática del seguro | |
| 773 | 0 | $wMAP20077000239$tNorth American actuarial journal$dSchaumburg : Society of Actuaries, 1997-$x1092-0277$g04/09/2017 Tomo 21 Número 3 - 2017 , p. 458-483 |