Pricing variable annuity guarantees in South Africa under a Variance-Gamma model

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dc.contributor.author Ngugi, A.M. (Alvin Macharia)
dc.contributor.author Mare, Eben
dc.contributor.author Kufakunesu, Rodwell
dc.date.accessioned 2016-02-18T09:57:20Z
dc.date.available 2016-02-18T09:57:20Z
dc.date.issued 2015
dc.description.abstract 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 Share Index (ALSI). This is a practical issue that life insurers face worldwide in the management of embedded derivatives. We consider the Variance-Gamma (VG) framework to model the underlying data series. The VG process is useful in option pricing given its ability to model higher moments, skewness and kurtosis and to capture observed market dynamics. The framework is able to address the inadequacies of some deterministic pricing approaches used by life insurers, given the increasing complexity of the option-like products sold. en_ZA
dc.description.librarian am2015 en_ZA
dc.description.sponsorship The third author is funded by NRF CSUR project no. 90313. en_ZA
dc.description.uri http://www.actuarialsociety.org.za/Professionalresources/SAActuarialJournal.aspx en_ZA
dc.identifier.citation Ngugi, AM, Mare, E & Kufakunesu, R 2015, 'Pricing variable annuity guarantees in South Africa under a Variance-Gamma model', South African Actuarial Journal, vol. 15, pp. 131-170. en_ZA
dc.identifier.issn 1680-2179
dc.identifier.other 10.4314/saaj.v15i1.6
dc.identifier.uri http://hdl.handle.net/2263/51448
dc.language.iso en en_ZA
dc.publisher Actuarial Society of South Africa en_ZA
dc.rights © Actuarial Society of South Africa. This work is distributed under the Creative Commons Attribution 3.0 License. en_ZA
dc.subject Embedded derivatives en_ZA
dc.subject Variable annuity en_ZA
dc.subject Hedging en_ZA
dc.subject Variance-Gamma (VG) en_ZA
dc.subject Pricing en_ZA
dc.title Pricing variable annuity guarantees in South Africa under a Variance-Gamma model en_ZA
dc.type Article en_ZA


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