Documentation and Knowledge Center of Fundación Mapfre > Guaranteed minimum income benefit valuation via a numéraire transformation approach

Notes: Sumario: The article develops an advanced actuarial framework for valuing guaranteed minimum income benefits (GMIB) in variable annuities, jointly incorporating financial risk, mortality risk, and interest rate risk. It introduces a change-of-numéraire technique that enables efficient analytical solutions compared with traditional Monte Carlo simulation methods. The model accounts for stochastic mortality correlated with interest rates and examines different benefit base designs. Numerical results show significant improvements in both accuracy and computational efficiency. The study provides relevant implications for pricing, risk management, and the design of life annuity insurance productsRelated records: En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 20/04/2026 Volumen 56 Número 2 - abril 2026 , 36 p.Materia / lugar / evento: Cálculo actuarial Mortalidad Tipos de interés Dependencia Gerencia de riesgos Otros autores: Mamon, Rogemar S. Xiong, Heng International Actuarial Association Other categories: 6