Download or read book Metamodeling for Variable Annuities written by Guojun Gan and published by CRC Press. This book was released on 2019-07-05 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is devoted to the mathematical methods of metamodeling that can be used to speed up the valuation of large portfolios of variable annuities. It is suitable for advanced undergraduate students, graduate students, and practitioners. It is the goal of this book to describe the computational problems and present the metamodeling approaches in a way that can be accessible to advanced undergraduate students and practitioners. To that end, the book will not only describe the theory of these mathematical approaches, but also present the implementations.
Download or read book Modeling Partial Greeks of Variable Annuities with Dependence written by Guojun Gan and published by . This book was released on 2016 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dynamic hedging used to mitigate the financial risks associated with large portfolios of variable annuities requires calculating partial dollar deltas on major market indices. Metamodeling approaches have been proposed in the past few years to address the computational issues related to the calculation of partial dollar deltas. In this paper, we investigate whether the additional complication of modeling the dependence between the partial dollar deltas improves the accuracy of the metamodeling approaches. We use several copulas to model the dependence structures of the partial dollar deltas and conduct numerical experiments to compare different metamodels. Depiste the evidence of strong dependence in the estimated models, our numerical results show that modeling the dependence structures in the metamodels does not improve the accuracy of the estimations at the portfolio level. This is becasue the dependence between the partial dollar deltas is well captured by the covariates used in the marginal models. These findings suggest that we should focus on marginal models only and it is unnecessary to model dependence explicitly.
Download or read book An Empirical Comparison of Some Experimental Designs for the Valuation of Large Variable Annuity Portfolios written by Guojun Gan and published by . This book was released on 2016 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: Variable annuities contain complex guarantees, whose fair market value cannot be calculated in closed form. To value the guarantees, insurance companies rely heavily on Monte Carlo simulation, which is extremely computationally demanding for large portfolios of variable annuity policies. Metamodeling approaches have been proposed to address these computational issues. An important step of metamodeling approaches is the experimental design that selects a small number of representative variable annuity policies for building metamodels. In this paper, we compare empirically several multivariate experimental design methods for the GB2 regression model, which has been recently discovered to be an attractive model to estimate the fair market value of variable annuity guarantees. Among the experimental design methods examined, we found that the data clustering method and the conditional Latin hypercube sampling method produce the most accurate results.
Download or read book Valuation of Large Variable Annuity Portfolios written by Guojun Gan and published by . This book was released on 2017 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: Metamodeling techniques have recently been proposed to address the computational issues related to the valuation of large portfolios of variable annuity contracts. However, it is extremely difficult, if not impossible, for researchers to obtain real datasets from insurance companies in order to test their metamodeling techniques on such real datasets and publish the results in academic journals. Even if a researcher can obtain real datasets from insurance companies, it is difficult for the re- searcher to share the datasets with the public at large. To facilitate the development and dissemination of research related to the efficient valuation of large variable annuity portfolios, this paper creates a large synthetic portfolio of variable annuity contracts based on the properties of real portfolios of variable annuities and implements a Monte Carlo simulation engine for valuing the synthetic portfolio. In addition, this paper develops benchmark datasets of fair market values and Greeks, which are important quantities for managing the financial risks associated with variable annuities. The resulting datasets provide researchers with a common basis for testing and comparing the performance of various metamodeling techniques.
Download or read book Variable Annuities written by and published by . This book was released on 2005 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Variable Annuities written by Tigran Kalberer and published by . This book was released on 2009 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: Variable Annuities provides an overview of all the relevant aspects of variable annuity (VA) products from an insurers perspective. It is a collection of contributions from several authors, co-ordinated in such a way that it covers all relevant areas with minimal overlap and a consistent level of detail.
Download or read book Two Phase Selection of Representative Contracts for Valuation of Large Variable Annuity Portfolios written by Ruihong Jiang and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: A computationally appealing methodology for the valuation of large variable annuities portfolios is a metamodelling framework that evaluates a small set of representative contracts, fits a predictive model based on these computed values, and then extrapolates the model to estimate the values of the remaining contracts. This paper proposes a new two-phase procedure for selecting representative contracts. The representatives from the first phase are determined using contract attributes as in existing metamodelling approaches, but those in the second phase are chosen by utilizing the information contained in the values of the representatives from the first phase. Two numerical studies confirm that our two-phase selection procedure improvesupon conventional approaches from the existing literature.
Download or read book Actuarial and Economic Aspects of Product Innovation in Variable Annuities written by Xiaochen Jing and published by . This book was released on 2021 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt: Variable Annuities (VAs) are innovative retirement products sold by insurers. My dissertation studies actuarial and economic aspects of product heterogeneity in VAs. I use textual analysis to construct a VA product dataset from real contracts. Based on this dataset, I investigate two research questions that contribute to two different fields of study. On the economic side, I investigate the drivers of the frequent innovation and complex product design in the VA market. More specifically, using my dataset of real VA contracts, I establish a recurring patterns in benefit-specific markets, where more fundamental innovations are followed by products in the same category of increasing complexity. I argue this pattern points to a coexistence of "virtuous" and "obfuscating" innovation in the VA market, with the former offering previous unavailable risk management tools to consumers and completing retail retirement markets, and the latter increasing complexity to exploit unsophisticated consumers. On the actuarial side, I examine metamodeling approaches for VA portfolio evaluation using a subset of my data. More specifically, I extract payoff-relevant information from the textual descriptions for VAs with Guaranteed Minimum Accumulation Benefits, and develop a flexible simulation-based valuation framework. I examine the accuracy and efficiency of metamodeling methods with different sampling and learning components. I find that larger training samples and more sophisticated learners help with prediction accuracy at the cost of longer runtimes. In contrast to previous literature, sampling methods do not have a significant effect on the overall performance in my setting. Overall, this dissertation provides insights related to product diversity in the VA market that are relevant to consumers, insurers, and policymakers. For consumers, instead of shopping for the cheapest deal, it is important to understand one's own risk profile and choose a suitable product accordingly. For insurers, metamodeling presents a viable evaluation approach for the analysis of real-world VAs at the portfolio level, although the performance for accurately valuing individual contracts is frail. For policymakers concerned with regulating complexity in retirement products, contract standardization may be a double-edge sword: while it can help mitigate "obfuscating" innovation, it also may stifle "virtuous" innovation at the same time.
Download or read book Valuation of Large Variable Annuity Portfolios with Rank Order Kriging written by Guojun Gan and published by . This book was released on 2019 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Metamodels, which simplify the simulation models used in the valuation of large variable annuity portfolios, have recently increased in popularity. The ordinary kriging and the GB2 regression models are examples of metamodels used to predict fair market values of variable annuity guarantees. It is well known that the distribution of fair market values is highly skewed. Ordinary kriging does not fit well skewed data but it depends only on a few parameters that can be estimated straightforwardly. GB2 regression can handle skewed data but its parameter estimation can be quite challenging. In this paper, we explore the rank order kriging method, which can handle highly skewed data and depends only on a single parameter, for the valuation of large variable annuity portfolios. Our numerical results demonstrate that the rank order kriging method performs remarkably well in terms of fitting the skewed distribution and producing accurate estimates of fair market values at the portfolio level.
Download or read book Scenario Selection with Lasso Regression for the Valuation of Variable Annuity Portfolios written by Hang Nguyen and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Variable annuities (VAs) are increasingly becoming popular insurance products in many developed countries which provide guaranteed forms of income depending on the performance of the equity market. Insurance companies often hold large VA portfolios and the associated valuation of such portfolios for hedging purposes is a very time-consuming task. There have been several studies focusing on inventing techniques aimed at reducing the computational time including the selection of representative VA contracts and the use of a metamodel to estimate the values of all contracts in the portfolio. In addition to the selection of representative contracts, this paper proposes using LASSO regression to select a set of representative scenarios, which in turn allows for the set of representative contracts to expand without significant increase in computational load. The proposed approach leads to a remarkable improvement in the computational efficiency and accuracy of the metamodel.
Download or read book The Truth about Variable Annuities written by Crc Fic Cwc J. Marc Ruggerio and published by Lulu.com. This book was released on 2011-01-19 with total page 153 pages. Available in PDF, EPUB and Kindle. Book excerpt: The most up to date and authoritative book on the complexities of structuring annuities. The author takes an unbiased point of view and articulates the complexities of all the major aspects of variable annuities and riders to allow them to become more understood by financial advisors and annuity owners alike. He clearly notes the benefits of variable annuities as well as the pitfalls which to look out for! Showing you the strategies that experts utilize within these investments while also detailing significant failures of cases where they were misunderstood and not structured properly. Can be used as a perfect reference guide on specific aspects of variable annuities as well as providing insight into the business of how variable annuities are sold. This is a bold and concise approach that allows the truth to be seen without reservations.
Download or read book TheStreet com Ratings Consumer Guide to Variable Annuities written by TheStreet.com Ratings, Incorporated and published by . This book was released on 2007 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Regression Modeling for the Valuation of Large Variable Annuity Portfolios written by Guojun Gan and published by . This book was released on 2016 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: Variable annuities are insurance products that contain guarantees and using the Monte Carlo method to calculate the fair market values of these guarantees for a large portfolio of such products is extremely time consuming. In this paper, we propose the class of GB2 distributions to model the fair market values of guarantees in order to capture the positive skewness typically observed empirically. Numerical results are used to demonstrate and evaluate the performance of the proposed model in terms of accuracy and speed.
Download or read book Variable Annuities written by U S Securities and Exchange Commission and published by CreateSpace. This book was released on 2015-04-10 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: Variable annuities have become a part of the retirement and investment plans of many Americans. Before you buy a variable annuity, you should know some of the basics- and be prepared to ask your insurance agent, broker, financial planner, or other financial professional lots of questions about whether a variable annuity is right for you. This is a in-depth description of variable annuities-what they are, how they work, and the charges you will pay. Before buying any variable annuity, however, you should find out about the particular annuity you are considering. Request a prospectus from the insurance company or from your financial professional, and read it carefully. The prospectus contains important information about the annuity contract, including fees and charges, investment options, death benefits, and annuity payout options. You should compare the benefits and costs of the annuity to other variable annuities and to other types of investments, such as mutual funds.
Download or read book Data Clustering Theory Algorithms and Applications Second Edition written by Guojun Gan and published by SIAM. This book was released on 2020-11-10 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt: Data clustering, also known as cluster analysis, is an unsupervised process that divides a set of objects into homogeneous groups. Since the publication of the first edition of this monograph in 2007, development in the area has exploded, especially in clustering algorithms for big data and open-source software for cluster analysis. This second edition reflects these new developments, covers the basics of data clustering, includes a list of popular clustering algorithms, and provides program code that helps users implement clustering algorithms. Data Clustering: Theory, Algorithms and Applications, Second Edition will be of interest to researchers, practitioners, and data scientists as well as undergraduate and graduate students.
Download or read book Guaranteed Income for Life written by Michael F. Lane and published by McGraw-Hill Companies. This book was released on 1998-08 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Lane shows specific ways to use variable annuities to achieve lifelong financial security and gives tips on how to pick the best product for any given situation. 30 charts & graphs.
Download or read book Variable Annuities as Investments written by Wilford John Eiteman and published by . This book was released on 1956 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:
