Guaranteed Minimum Accumulation and Death Benefits (GMAB and GMDB) are two common
types of variable annuity (VA) products providing participation at the financial markets and …

Variable annuities represent certain unit-linked life insurance products offering different types
of protection commonly referred to as guaranteed minimum benefits (GMXBs). They are …

This paper introduces a novel method for pricing commodity index derivatives consistently
with market prices of derivatives on single commodities. We discuss the Black, mean-…

Guaranteed Minimum Accumulation Benefit (GMAB) is one of the variable annuity products,
ie new type of insurance and retirement products offering participation at the financial …

This paper presents a structural credit model with underlying stochastic volatility, a CIR
process, combining the Black/Cox framework with the Heston Model. We allow to calibrate a …

The worldwide market of variable annuities (VAs) has been rapidly growing since their
introduction in the mid-1980s in the United States. These fund-linked annuity products, which …

There are several risk factors relevant to a defined-benefit (DB) pension plan’s liabilities. Until
recently, most pension plans’ sponsors were particularly concerned with interest-rate and …

… Mikhail Krayzler …

… Mikhail Krayzler, Rudi Zagst, Bernhard Brunner …

This thesis aims to propose a reasonable set of risk factors which are to be used in a portfolio
credit risk model. It shows how these risk factors can be incorporated in the modeling …