A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2019; you can also visit the original URL.
The file type is
In this paper, we review pricing of variable annuity living and death guarantees offered to retail investors in many countries. Investors purchase these products to take advantage of market growth and protect savings. We present pricing of these products via an optimal stochastic control framework, and review the existing numerical methods. For numerical valuation of these contracts, we develop a direct integration method based on Gauss-Hermite quadrature with a one-dimensional cubic spline fordoi:10.3390/risks4030022 fatcat:jx5gwll3vbde3dl6pfkuzvcehq