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Variable annuity guarantees pricing under the Variance-Gamma framework
Dissertation (MSc)--University of Pretoria, 2014.
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2015
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| _version_ | 1867613686952099840 |
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| access_status_str | Open Access |
| author2 | Mare, Eben |
| author_browse | Mare, Eben |
| author_facet | Mare, Eben |
| collection | Thesis |
| dc_rights_str_mv | © 2015 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Dissertation (MSc)--University of Pretoria, 2014. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/45952 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:40:05.686Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/45952 Variable annuity guarantees pricing under the Variance-Gamma framework Mare, Eben Kufakunesu, Rodwell Ngugi, A.M. (Alvin Macharia) UCTD Embedded option Variable annuity Variance-Gamma Dissertation (MSc)--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 derivatives embedded within these products. It also addresses how such providers can protect themselves against adverse scenarios through a hedging framework built from the pricing framework. The aim is to comparatively consider the price differentials of a life insurer that prices its variable annuity guarantees under the more actuarially accepted regime-switching framework versus the use of a Lévy framework. The framework should address the inadequacies of conventional deterministic pricing approaches used by life insurers given the increasing complexity of the option-like products sold. The study applies finance models in the insurance context given the similarities in payoff structure of the products offered while taking into account the differences that may exist. The underlying Lévy process used in this study is the Variance-Gamma (VG) process. This process is useful in option pricing given its ability to model higher moments, skewness and kurtosis, and also incorporate stochastic volatility. The research results compare well with the regime-switching framework besides the added merit in the use of a more refined model for the underlying that captures most of the observed market dynamics. tm2015 Mathematics and Applied Mathematics MSc Unrestricted 2015-07-02T11:06:09Z 2015-07-02T11:06:09Z 2015/04/16 2014 Dissertation Ngugi, AM 2014, Variable annuity guarantees pricing under the Variance-Gamma framework, MSc Dissertation, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/45952> A2015 http://hdl.handle.net/2263/45952 en © 2015 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | UCTD Embedded option Variable annuity Variance-Gamma Variable annuity guarantees pricing under the Variance-Gamma framework |
| title | Variable annuity guarantees pricing under the Variance-Gamma framework |
| title_full | Variable annuity guarantees pricing under the Variance-Gamma framework |
| title_fullStr | Variable annuity guarantees pricing under the Variance-Gamma framework |
| title_full_unstemmed | Variable annuity guarantees pricing under the Variance-Gamma framework |
| title_short | Variable annuity guarantees pricing under the Variance-Gamma framework |
| title_sort | variable annuity guarantees pricing under the variance gamma framework |
| topic | UCTD Embedded option Variable annuity Variance-Gamma |
| url | http://hdl.handle.net/2263/45952 |