Variable annuity economic capital: the least-squares Monte Carlo approach

Mark Cathcart, Steven Morrison

Research output: Contribution to journalArticlepeer-review

Abstract / Description of output

The complex nature of the guaranteed benefits included in variable annuity products means evaluation by Monte Carlo simulation is computationally challenging. A technique adopted from pricing American options could offer an alternative way to approximate these liabilities and their capital requirements.
Original languageEnglish
Pages (from-to)44-48
JournalLife and Pensions
Publication statusPublished - 2009

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