Faithin Omaha eBook Collection

Download or read book Regression Modeling for the Valuation of Large Variable Annuity Portfolios written by Guojun Gan and published by . This book was released on 2016 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: Variable annuities are insurance products that contain guarantees and using the Monte Carlo method to calculate the fair market values of these guarantees for a large portfolio of such products is extremely time consuming. In this paper, we propose the class of GB2 distributions to model the fair market values of guarantees in order to capture the positive skewness typically observed empirically. Numerical results are used to demonstrate and evaluate the performance of the proposed model in terms of accuracy and speed.