Pricing annuity guarantees under a double regime-switching model

Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming

doi:10.1016/j.insmatheco.2015.02.005

Cited by 34 publications

(9 citation statements)

References 45 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…In these models, the studied processes are assumed to have several "regimes", with their own regime specific parameters and rules for regime switching. For a more detailed literature review on the uses of regime-switching models in insurance and finance, see Liu et al (2011), Shen and Siu (2013), Freeman (2013), Fan et al (2015), Siu et al (2015), Chen and Delong (2015), Rambeerich and Pantelous (2016) and references therein.…”

Section: Motivation: Stability Feedback Control and H ∞ Controlmentioning

confidence: 99%

Robust Stability, Stabilisation and H-Infinity Control for Premium-Reserve Models in a Markovian Regime Switching Discrete-Time Framework

2016

View full text Add to dashboard Cite

The premium pricing process and the medium- and long-term stability of the reserve policy under conditions of uncertainty present very challenging issues in relation to the insurance world. Over the last two decades, applications of Markovian regime switching models to finance and macroeconomics have received strong attention from researchers, and particularly market practitioners. However, relatively little research has so far been carried out in relation to insurance. This paper attempts to consider how a linear Markovian regime switching system in discrete-time could be applied to model the medium- and long-term reserves and the premiums (abbreviated here as the P-R process) for an insurer. Some recently developed techniques from linear robust control theory are applied to explore the stability, stabilisation and robust H∞-control of a P-R system, and the potential effects of abrupt structural changes in the economic fundamentals, as well as the insurer's strategy over a finite time period. Sufficient linear matrix inequality conditions are derived for solving the proposed sub-problems. Finally, a numerical example is presented to illustrate the applicability of the theoretical results.

show abstract

Section: Motivation: Stability Feedback Control and H ∞ Controlmentioning

confidence: 99%

Robust Stability, Stabilisation and H-Infinity Control for Premium-Reserve Models in a Markovian Regime Switching Discrete-Time Framework

2016

View full text Add to dashboard Cite

show abstract

“…Existing results mostly rely on simulation (e.g., Zaglauer and Bauer, 2008;Deelstra and Rayée, 2013;Hieber et al, 2019, and many others). The case of a regime switching interest rate where the valuation can use Fourier techniques (e.g., Fan et al, 2015;Ignatieva et al, 2016;Hieber, 2017;Cui et al, 2017) or Erlangization techniques (e.g., Deelstra and Hieber, 2023) is analytically rather tractable. For the special case of two subperiods, Persson and Aase (1997) and Miltersen and Persson (1999) derive premiums in closed-form in a generalization of the Vasicek-Black-Scholes model.…”

Section: Introductionmentioning

confidence: 99%

Analyzing The Interest Rate Risk of Equity-Indexed Annuities Via Scenario Matrices

Günther

Hieber

2023

SSRN Journal

View full text Add to dashboard Cite

“…To study the valuation issue in a different perspective, scholars turned to the regime-switching model, which was used to investigate the performance of an object subject to the economic changes in financial markets. In the literature, interest readers can refer to Fan et al [19], Siu et al [5], Ignatieva et al [20], and Hieber [21].…”

Section: Introductionmentioning

confidence: 99%

Valuing Guaranteed Minimum Death Benefits by Cosine Series Expansion

Yong

Guan

et al. 2019

Mathematics

View full text Add to dashboard Cite

Recently, the valuation of variable annuity products has become a hot topic in actuarial science. In this paper, we use the Fourier cosine series expansion (COS) method to value the guaranteed minimum death benefit (GMDB) products. We first express the value of GMDB by the discounted density function approach, then we use the COS method to approximate the valuation Equations. When the distribution of the time-until-death random variable is approximated by a combination of exponential distributions and the price of the fund is modeled by an exponential Lévy process, explicit equations for the cosine coefficients are given. Some numerical experiments are also made to illustrate the efficiency of our method.

show abstract

Pricing annuity guarantees under a double regime-switching model

Cited by 34 publications

References 45 publications

Robust Stability, Stabilisation and H-Infinity Control for Premium-Reserve Models in a Markovian Regime Switching Discrete-Time Framework

Robust Stability, Stabilisation and H-Infinity Control for Premium-Reserve Models in a Markovian Regime Switching Discrete-Time Framework

Analyzing The Interest Rate Risk of Equity-Indexed Annuities Via Scenario Matrices

Valuing Guaranteed Minimum Death Benefits by Cosine Series Expansion

Contact Info

Product

Resources

About