Browsing Mathematics and Applied Mathematics by Subject "Variable annuity"

Browsing Mathematics and Applied Mathematics by Subject "Variable annuity"

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  • Pricing variable annuity guarantees in South Africa under a Variance-Gamma model 
    Ngugi, A.M. (Alvin Macharia); Mare, Eben; Kufakunesu, Rodwell (Actuarial Society of South Africa, 2015)
    The purpose of this study is to investigate the pricing of variable annuity embedded derivatives using a suitably refined model for the underlying assets, in this case the Johannesburg Securities Exchange FTSE/JSE All ...
  • Variable annuity guarantees pricing under the Variance-Gamma framework 
    Ngugi, A.M. (Alvin Macharia) (University of Pretoria, 2014)
    The purpose of this study is to investigate the pricing of variable annuity embedded derivatives in a Lévy process setting. This is one of the practical issues that continues to face life insurers in the management of ...