2 papers
q-fin.PR2019
Fair Pricing of Variable Annuities with Guarantees under the Benchmark Approach
Jin Sun, Kevin Fergusson, Eckhard Platen +1
In this paper we consider the pricing of variable annuities (VAs) with guaranteed minimum withdrawal benefits. We consider two pricing approaches, the classical risk-neutral approa…
q-fin.RM2010
Impact of Insurance for Operational Risk: Is it worthwhile to insure or be insured for severe losses?
Gareth W. Peters, Aaron D. Byrnes, Pavel V. Shevchenko
Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach allows a provision for reduction of capital as a result of insurance mitigation of up to 2…