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Dependence Modeling

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CiteScore 2018: 0.67

SCImago Journal Rank (SJR) 2018: 0.380
Source Normalized Impact per Paper (SNIP) 2018: 0.383

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Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets

Guojun Gan / Emiliano A. Valdez
Published Online: 2017-12-29 | DOI: https://doi.org/10.1515/demo-2017-0021


Metamodeling techniques have recently been proposed to address the computational issues related to the valuation of large portfolios of variable annuity contracts. However, it is extremely diffcult, if not impossible, for researchers to obtain real datasets frominsurance companies in order to test their metamodeling techniques on such real datasets and publish the results in academic journals. To facilitate the development and dissemination of research related to the effcient valuation of large variable annuity portfolios, this paper creates a large synthetic portfolio of variable annuity contracts based on the properties of real portfolios of variable annuities and implements a simple Monte Carlo simulation engine for valuing the synthetic portfolio. In addition, this paper presents fair market values and Greeks for the synthetic portfolio of variable annuity contracts that are important quantities for managing the financial risks associated with variable annuities. The resulting datasets can be used by researchers to test and compare the performance of various metamodeling techniques.

Keywords : Monte Carlo; multivariate Black-Scholes; metamodeling; variable annuity; portfolio valuation

MSC 2010: 65C05; 91G60


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About the article

Received: 2017-09-19

Accepted: 2017-12-05

Published Online: 2017-12-29

Published in Print: 2017-12-20

Citation Information: Dependence Modeling, Volume 5, Issue 1, Pages 354–374, ISSN (Online) 2300-2298, DOI: https://doi.org/10.1515/demo-2017-0021.

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© 2018. This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License. BY-NC-ND 4.0

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