IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-3-030-99638-3_55.html
   My bibliography  Save this book chapter

Surrender and Path-Dependent Guarantees in Variable Annuities: Integral Equation Solutions and Benchmark Methods

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Antonio L. Martire

    (University of Rome ‘La Sapienza’, Department of Methods and Models for Economics, Territory and Finance)

  • Emilio Russo

    (University of Calabria, Department of Economics, Statistics, and Finance)

  • Alessandro Staino

    (University of Calabria, Department of Economics, Statistics, and Finance)

Abstract

We investigate the evaluation problem of variable annuities by considering guaranteed minimum maturity benefits with constant or path-dependent guarantees of barrier and lookback type. We propose to solve the non-standard Volterra integral equations associated with the policy valuations through a randomized trapezoidal quadrature rule combined with an interpolation technique. Such a rule improves the convergence rate with respect to the classical trapezoidal quadrature, while the interpolation technique allows us to obtain an efficient algorithm that produces an accurate approximation of the early exercise boundary. The method accuracy is assessed by constructing two benchmarks based on lattice approaches and the least-squares Monte Carlo simulations. In the first case, a novel algorithm for the lookback path-dependent guarantee is obtained thanks to the lattice convergence properties.

Suggested Citation

  • Antonio L. Martire & Emilio Russo & Alessandro Staino, 2022. "Surrender and Path-Dependent Guarantees in Variable Annuities: Integral Equation Solutions and Benchmark Methods," Springer Books, in: Marco Corazza & Cira Perna & Claudio Pizzi & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 340-346, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-99638-3_55
    DOI: 10.1007/978-3-030-99638-3_55
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-3-030-99638-3_55. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.