• Corpus ID: 251196806

Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation

@inproceedings{Cui2022AnalysisOV,
  title={Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation},
  author={Zhenyu Cui and Anne Mackay and Marie Vachon},
  year={2022}
}
. We consider the pricing of variable annuities (VAs) with general fee structures under popular stochastic volatility models such as Heston, Hull-White, Scott, α -Hypergeometric, 3 / 2 , and 4 / 2 models. In particular, we analyze the impact of different VIX-linked fee structures on the optimal surrender strategy of a VA contract with guaranteed minimum maturity benefit (GMMB). Under the assumption that the VA contract can be surrendered before maturity, the pricing of a VA contract corresponds… 

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