Abstract
Variable annuities are insurance products that contain guarantees and using the Monte Carlo method to calculate the fair market values of these guarantees for a large portfolio of such products is extremely time consuming. In this paper, we propose the class of GB2 distributions to model the fair market values of guarantees in order to capture the positive skewness typically observed empirically. Numerical results are used to demonstrate and evaluate the performance of the proposed model in terms of accuracy and speed.
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