VIX-linked GMMB under affine GARCH models and its Diffusion Limits

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dc.contributor.advisorBadescu, Alexandru M.
dc.contributor.authorChen, Yuyu
dc.contributor.committeememberWare, Antony F.
dc.contributor.committeememberSwishchuk, Anatoliy V.
dc.date2018-11
dc.date.accessioned2018-07-10T13:57:54Z
dc.date.available2018-07-10T13:57:54Z
dc.date.issued2018-07-06
dc.description.abstractIn variable annuity (VA) industry, to compensate for the liability coming from embedded riders in VA, insurer usually charge a fixed percentage of investment fund as the riders fee. However, the traditional fixed-fee structure would misalign insurer’s income and liability and in consequence cause risk management challenges for insurer. In 2013, the Chicago Board of Options Exchange (CBOE) suggests linking riders fee in variable annuity with VIX index in a white paper and shows that VIX-linked fee structure can help to re-align insurer’s income and liability using non-parametric models. Affine GARCH models are used in this work to analyze VIX-linked fee structure for VA with guarantee minimum maturity benefit (GMMB). A closed-form solution to GMMB has been derived and is used to determine a fair fee structure. Comparison between fixed-fee structure and VIX-linked fee structure has been been shown by numerical examples.en_US
dc.identifier.citationChen, Y. (2018). VIX-linked GMMB under affine GARCH models and its Diffusion Limits (Master's thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca. doi:10.11575/PRISM/32341en_US
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/32341
dc.identifier.urihttp://hdl.handle.net/1880/107119
dc.language.isoeng
dc.publisher.facultyGraduate Studies
dc.publisher.facultyScience
dc.publisher.institutionUniversity of Calgaryen
dc.publisher.placeCalgaryen
dc.rightsUniversity of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission.
dc.subjectVariable annuity
dc.subjectVIX-linked fee
dc.subjectGMMB
dc.subjectaffine GARCH models
dc.subjectclosed-form solution
dc.subjectdiffusion limits
dc.subject.classificationEducation--Financeen_US
dc.subject.classificationStatisticsen_US
dc.titleVIX-linked GMMB under affine GARCH models and its Diffusion Limits
dc.typemaster thesis
thesis.degree.disciplineMathematics and Statistics
thesis.degree.grantorUniversity of Calgary
thesis.degree.nameMaster of Science (MSc)
ucalgary.item.requestcopytrue
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