A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Paper assesses GMMB in VAs using FST for accurate net liability calculations.
Paper proposes a natural hedging framework with graphical assessment for longevity risk management.
Hedging methods to mitigate the exposure of variable annuity products to market risks require the calculation of market risk sensitivities (or "Greeks"). The complex, path-dependent nature of these products means these sensitivities typically must be estimated by Monte Carlo simulation. Standard market practice is to m…
In this paper we investigate novel applications of a new class of equations which we call time-delayed backward stochastic differential equations. Time-delayed BSDEs may arise in finance when we want to find an investment strategy and an investment portfolio which should replicate a liability or meet a target depending…
In a market with stochastic volatility and jumps, we consider a VIX-linked fee structure for variable annuity contracts with guaranteed minimum withdrawal benefits (GMWB). Our goal is to assess the effectiveness of the VIX-linked fee structure in decreasing the sensitivity of the insurer's liability to volatility risk.…
This paper proposes a paradigm shift in the valuation of long term annuities, away from classical no-arbitrage valuation towards valuation under the real world probability measure. Furthermore, we apply this valuation method to two examples of annuity products, one having annual payments linked to a mortality index and…
We find the minimum probability of lifetime ruin of an investor who can invest in a market with a risky and a riskless asset and who can purchase a reversible life annuity. The surrender charge of a life annuity is a proportion of its value. Ruin occurs when the total of the value of the risky and riskless assets and t…
Paper proposes decentralized annuities for better retirement security.
We find the minimum probability of lifetime ruin of an investor who can invest in a market with a risky and a riskless asset and can purchase a deferred annuity. Although we let the admissible set of strategies of annuity purchasing process to be increasing adapted processes, we find that the individual will not buy a …
The paper analyzes GMWB annuities in low interest rate environments.
Investigates optimal life insurance and annuity decisions in inflationary economies.
The paper studies pricing of insurance products focusing on the pricing of annuities under uncertainty. This pricing problem is crucial for financial decision making and was studied intensively, however, many open questions still remain. In particular, there is a so-called "annuity puzzle" related to certain inconsiste…
Study proposes a new model for joint survival annuity valuation.
Insurance companies often include very long-term guarantees in participating life insurance products, which can turn out to be very valuable. Under a guaranteed annuity options (G.A.O), the insurer guarantees to convert a policyholder's accumulated funds to a life annuity at a fixed rated when the policy matures. Both …
The paper examines variable annuities pricing and risk management using the Black-Scholes model and identifies key risk drivers.
We propose a long term portfolio management method which takes into account a liability. Our approach is based on the LQG (Linear, Quadratic cost, Gaussian) control problem framework and then the optimal portfolio strategy hedges the liability by directly tracking a benchmark process which represents the liability. Two…
This paper studies optimal investment from the point of view of an investor with longevity-linked liabilities. The relevant optimization problems rarely are analytically tractable, but we are able to show numerically that liability driven investment can significantly outperform common strategies that do not take the li…
This paper examines the optimal annuitization, investment and consumption strategies of a utility-maximizing retiree facing a stochastic time of death under a variety of institutional restrictions. We focus on the impact of aging on the optimal purchase of life annuities which form the basis of most Defined Benefit pen…
Optimal control solves multi-period liability clearing problems.
Study finds environmental liability insurance reduces industrial carbon emissions.
Analyzes how many people can receive stable income in a pooled annuity fund.
Existence of Radner equilibrium proven with growing population.
It is known that the decision to purchase an annuity may be associated to an optimal stopping problem. However, little is known about optimal strategies, if the mortality force is a generic function of time and if the `subjective' life expectancy of the investor differs from the `objective' one adopted by insurance com…
The study shows that limited liability can make banks more stable by choosing less risky assets.
Paper presents deep LSMC method for efficient variable annuity pricing.
We derive measure change formulae required to price midcurve swaptions in the forward swap annuity measure with stochastic annuities' ratios. We construct the corresponding linear and exponential terminal swap rate pricing models and show how they capture the midcurve swaption correlation skew.
Refundable income annuities offer a money-back guarantee, now the majority of sales.
Limited liability reduces leveraged risk in loan portfolio management models.
Unified framework for fixed-income pricing and liability replication.
This paper assesses the hedge effectiveness of an index-based longevity swap and a longevity cap. Although swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay-offs, such as longevity caps, also provide downside protection. A tractable stochastic mortality model with age dependent …
In this article we investigate a state-space representation of the Lee-Carter model which is a benchmark stochastic mortality model for forecasting age-specific death rates. Existing relevant literature focuses mainly on mortality forecasting or pricing of longevity derivatives, while the full implications and methods …
Historical tontines promised enormous rewards to the last survivors at the expense of those who died early. While this design appealed to the gambling instinct, it is a suboptimal way to manage longevity risk during retirement. This is why fair life annuities making constant payments -- where the insurance company is e…
Study on pooled annuity funds and how initial savings affect income stability.
The paper values variable annuities using complex stochastic models and deep learning.
In this paper, we consider the asset-liability management under the mean-variance criterion. The financial market consists of a risk-free bond and a stock whose price process is modeled by a geometric Brownian motion. The liability of the investor is uncontrollable and is modeled by another geometric Brownian motion. W…
Stochastic model for pension insurer assets and liabilities with mortality risk.
We develop a theory for valuing non-diversifiable mortality risk in an incomplete market. We do this by assuming that the company issuing a mortality-contingent claim requires compensation for this risk in the form of a pre-specified instantaneous Sharpe ratio. We apply our method to value life annuities. One result of…
Study classifies liability insurance policies using machine learning.
The paper analyzes Variable Annuities with surrender charges, providing a pricing formula and optimal exercise boundary.
Novel pricing method for equity-indexed annuities under uncertain volatility and stochastic interest rate.
Enhances valuation of variable annuities with stochastic interest rate models.
In this paper, we study the price of Variable Annuity Guarantees, especially of Guaranteed Annuity Options (GAO) and Guaranteed Minimum Income Benefit (GMIB), and this in the settings of a derivative pricing model where the underlying spot (the fund) is locally governed by a geometric Brownian motion with local volatil…
Proposes GLWB-LTC for enhanced life care annuities with dynamic withdrawal strategies and stochastic interest rates.
Framework for realistic insurance liability valuation.
Paper proposes a deep RL method for hedging variable annuities, outperforming misspecified models.
The paper introduces deep learning for ALM, enhancing asset and liability management.
This paper proposes a market consistent valuation framework for variable annuities with guaranteed minimum accumulation benefit, death benefit and surrender benefit features. The setup is based on a hybrid model for the financial market and uses time-inhomogeneous Lévy processes as risk drivers. Further, we allow for d…
Optimal portfolios for fat-tailed risks using a new tail risk measure.