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Variable annuity pricing, valuation, and risk management: a survey

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  • Runhuan Feng
  • Guojun Gan
  • Ning Zhang

Abstract

Variable annuity is arguably the most complex individual retirement planning product in the financial market. Its intricacy stems from a variety of product features including investment options, guaranteed benefits, withdrawal options, etc. In many ways, variable annuities can be viewed as traditional life and annuity products at the next level of sophistication with added financial options. Despite a significant amount of publications by practitioners and academics on the subject matter, there have been few research papers that systematically exploit the basic principles underlying the operation of variable annuities. This survey paper aims to fill in the gap in the literature for an overview of state-of-the-art technology and recent trends in the development of variable annuities.

Suggested Citation

  • Runhuan Feng & Guojun Gan & Ning Zhang, 2022. "Variable annuity pricing, valuation, and risk management: a survey," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2022(10), pages 867-900, November.
    • Handle: RePEc:taf:sactxx:v:2022:y:2022:i:10:p:867-900
    DOI: 10.1080/03461238.2022.2049635
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    Citations

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    Cited by:

    1. Yichen Han & Lianxia Wu & Dongchen Li & Jiaqi Han, 2024. "Guaranteed minimum withdrawal benefits with high-water mark fee structure," PLOS ONE, Public Library of Science, vol. 19(5), pages 1-17, May.
    2. Chen, Ze & Feng, Runhuan & Li, Hong & Yang, Tianyu, 2024. "Coping with longevity via hedging: Fair dynamic valuation of variable annuities," Insurance: Mathematics and Economics, Elsevier, vol. 117(C), pages 154-169.
    3. Anne Mackay & Marie-Claude Vachon, 2023. "On an Optimal Stopping Problem with a Discontinuous Reward," Papers 2311.03538, arXiv.org, revised Jul 2025.
    4. Tang, Kelvin & Cheung, Eric C.K. & Woo, Jae-Kyung, 2025. "Designing and valuing new equity-linked insurance products for couples," Insurance: Mathematics and Economics, Elsevier, vol. 121(C), pages 111-132.
    5. Nguyen, Hang & Sherris, Michael & Villegas, Andrés M. & Ziveyi, Jonathan, 2024. "Scenario selection with LASSO regression for the valuation of variable annuity portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 27-43.
    6. Feng, Runhuan & Jing, Xiaochen & Ng, Kenneth Tsz Hin, 2025. "Optimal investment-withdrawal strategy for variable annuities under a performance fee structure," Journal of Economic Dynamics and Control, Elsevier, vol. 170(C).
    7. Shen, Yang & Sherris, Michael & Wang, Yawei & Ziveyi, Jonathan, 2025. "Innovative combo product design embedding variable annuity and long-term care insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 121(C), pages 79-99.
    8. Deelstra, Griselda & Hieber, Peter, 2023. "Randomization and the valuation of guaranteed minimum death benefits," European Journal of Operational Research, Elsevier, vol. 309(3), pages 1218-1236.

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