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Numerical experiment setup
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Classroom Contents
Brooklyn Quant Experience Lecture Series - Fourier-Based Methods for Complex Insurance Products Management
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- 1 Introduction
- 2 The Variable Annuity Contract
- 3 Agenda
- 4 Variable Annuity - the Ratchet design (1)
- 5 Surrender model
- 6 Mortality risk model
- 7 Valuation: Fair Market Value
- 8 Fourier transform for derivatives valuation
- 9 Value of the GMAB
- 10 Value of the Surrender Benefit
- 11 Integration in high dimensions
- 12 Numerical experiment setup
- 13 Parameters and importance sampling distribution
- 14 Results
- 15 Sensitivity analysis
- 16 Conclusions
- 17 Market model: a general framework
