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.MF2017
Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity
Kevin Fergusson, Eckhard Platen
This paper proposes a paradigm shift in the valuation of long term annuities, away from classical no-arbitrage valuation towards valuation under the real world probability measure.…