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Regression modeling for the valuation of large variable annuity portfolios
Recurso electrónico / electronic resource
MAP20180017001
Gan, Guojun ‌
Regression modeling for the valuation of large variable annuity portfolios / Guojun Gan, Emiliano A. Valdez
Sumario: Variable annuities are insurance products that contain complex guarantees. To manage the financial risks associated with these guarantees, insurance companies rely heavily on Monte Carlo simulation. However, using Monte Carlo simulation to calculate the fair market values of these guarantees for a large portfolio of variable annuities is extremely time consuming. In this article, we propose the class of GB2 distributions to model the fair market values of guarantees to capture the positive skewness typically observed empirically. Numerical results are used to demonstrate and evaluate the performance of the proposed model in terms of accuracy and speed
En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 05/03/2018 Tomo 22 Número 1 - 2018 , p. 40-54
1. Productos de seguros ‌. 2. Empresas de seguros ‌. 3. Simulación Monte Carlo ‌. 4. Valor de mercado ‌. 5. Rendimiento ‌. 6. Matemática del seguro ‌. 7. Modelos de simulación ‌. 8. Modelo estocástico ‌. 9. Modelos matemáticos ‌. I. Valdez, Emiliano A. ‌. II. Title.