Kwai Sun Leung

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We consider the pricing of variable annuities with the Guaranteed Minimum Withdrawal Benefit (GMWB) under the Vasicek stochastic interest rates framework. The holder of the variable annuity contract pays an initial purchase payment to the insurance company, which is then invested in a portfolio of risky assets. Under the GMWB, the holder can withdraw a(More)
We analyze the counterparty risk for credit default swaps using the Markov chain model of portfolio credit risk of multiple obligors with interacting default intensity processes. The default correlation between the protection seller and underlying entity is modeled by an increment in default intensity upon the occurrence of an external shock event. The(More)
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