Regression modeling for the valuation of large variable annuity portfolios

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<title>Regression modeling for the valuation of large variable annuity portfolios</title>
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<namePart>Gan, Guojun</namePart>
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<namePart>Valdez, Emiliano A.</namePart>
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<abstract displayLabel="Summary">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</abstract>
<note type="statement of responsibility">Guojun Gan, Emiliano A. Valdez</note>
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<title>North American actuarial journal</title>
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<publisher>Schaumburg : Society of Actuaries, 1997-</publisher>
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<identifier type="issn">1092-0277</identifier>
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<text>05/03/2018 Tomo 22 Número 1 - 2018 , p. 40-54</text>
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