Gan and Valdez receive grant to study variable annuity portfolio valuations

Professors [dump script=”PersonLink.php?LastName=Gan&FirstName= Guojun”] and [dump script=”PersonLink.php?LastName=Valdez&FirstName=Emiliano”] have been awarded a one-year grant from the Society of Actuaries to support their project “Regression Modeling for the Valuation of Large Variable Annuity (VA) Portfolios” starting in 2016. They will investigate the potential use of GB2 (generalized beta of the second kind) distributions with four parameters to model the fair market values of VA guarantees. The findings from this project can help insurance companies to reduce significantly the processing time of the Monte Carlo simulation model commonly used in practice for VA valuation.


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