Tag: Valuation (finance)
Analytic GMIB valuation was faster than Monte Carlo simulation
Framework for valuing guaranteed minimum income benefits in variable annuities using numéraire transformation; achieves 99% computational time reduction versus Monte Carlo simulation.
Correlated regime-switching raises guaranteed annuity option prices
Learn how regime-switching models and correlated risks improve guaranteed annuity option valuation, providing insurers with accurate pricing and enhanced risk management frameworks.
