Pricing Bounds and Bang-bang Analysis of the Polaris Variable Annuities


We study the no-arbitrage pricing of Polaris variable annuities recently issued by AIG. Polaris allows the income base to “lock in” the high water mark of the investment account. For rider charge proportional to the... [ view full abstract ]


  1. Zhiyi Shen (University of Waterloo)
  2. Chengguo Weng (University of Waterloo)

Topic Areas

Arbitrage Theory , Numerical Methods , Optimal Control


WE-P-EM » Dividends and Control (14:30 - Wednesday, 18th July, Emmet)

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