This paper introduces a flexible risk decomposition method for life insurance contracts
embedding several risk factors. Hedging can be naturally embedded in the framework …

An implicit partial differential equation (PDE) method is used to determine the cost of
hedging for a Guaranteed Lifelong Withdrawal Benefit (GLWB) variable annuity contract. In …

A well-known approach for the pricing of options under regime-switching models is to use
the regime-switching Esscher transform (also called regime-switching mean-correcting …

This paper presents a novel and efficient approach to pricing equity-linked guaranteed
minimum death benefits (GMDB) with European-style geometric Asian and arithmetic Asian …

A number of stochastic mortality models with transitory jump effects have been proposed for
the securitization of catastrophic mortality risks. Most of the studies on catastrophic mortality …

This work develops an approximation procedure for a class of non-zero-sum stochastic
differential investment and reinsurance games between two insurance companies. Both …

A general methodology is described in which policyholder behaviour is decoupled from the
pricing of a variable annuity based on the cost of hedging it, yielding two weakly coupled …

This paper considers the pricing problem of an equity-linked guaranteed minimum death
benefit product with an expiration time of T, under the assumption of allowing surrender. To …

In this paper, we employ numerical methods based on deep learning algorithms for solving
controlled stochastic Kolmogorov systems with regime-switching. Different from classical …

Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to
guarantees embedded in such policies. A typical industry practice consists of using fund …