Guaranteed minimum income benefit valuation via a numéraire transformation approach
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<title>Guaranteed minimum income benefit valuation via a numéraire transformation approach</title>
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<namePart>Mamon, Rogemar S.</namePart>
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<namePart>Xiong, Heng</namePart>
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<abstract displayLabel="Summary">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 products</abstract>
<note type="statement of responsibility">Yiming Huang, Rogemar Mamon and Heng Xiong</note>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
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<text>20/04/2026 Volumen 56 Número 2 - abril 2026 , 36 p.</text>
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