Calculation of variable annuity market sensitivities using a pathwise methodology

Under traditional finite difference methods, the calculation of variable annuity sensitivities can involve multiple Monte Carlo simulations, leading to high computational cost. A pathwise approach reduces this dramatically, while providing an unbiased estimate

Variable annuities with guaranteed minimum benefits (death, accumulation, income or withdrawal) represent products with complex embedded derivative structures. Determining the market values and sensitivities (‘Greeks') of these products is important in a number of contexts. However, generation of these values can be expensive to compute using the most prevalent methods in the industry.

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Calculation of variable annuity market