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Variable annuities generally have guarantees, which are essentially just embedded options. To price and analyze these options you have to run large-scale Monte
by tdees40 11y ago
Variable annuities generally have guarantees, which are essentially just embedded options. To price and analyze these options you have to run large-scale Monte Carlo simulations. Many shops have >100K policies and are running 30 year Monte Carlo projections. You can imagine the computational power required, and the inherent parallelism of the solution.
- CyberDildonics 11y agoCan you give more information on this? It actually sounds like an easy problem to solve to me.
- tdees40 11y agoOh sure, it's completely solvable. In fact some companies have solved it, but most lack the expertise. E-mail me (address in profile) if you have any further questions.