Static approach: Model 1, Model 2’ model 3

With this exercise VAs with GMAB and GMDB riders are priced by means of the static approach. The caracteristics of the contracts are the following:

• Contract expires at T = 15 years
• Age of the policyholder at contract inception in 50
• Both GMAB and GMDB pay the minimum amount as the roll-up of premium.
• The roll-up rate is 2%
• The fee is state-dependent and the base fee varies from 1% to 13%
• The state-dependent barrier is the GMAB minimum amount at T = 15

With regards to the simulation:

• The number of Monte Carlo simulations will be 20000.
• We’re going to compare model 1, model 2’ and model 3 with the static approach

## Model 1

##  [1] 118.30462 114.74733 111.12661 107.80459 105.06002 102.37904 100.06229
##  [8]  98.03278  96.20914  94.62853  93.31506  92.15651  91.22904

## Model 2'

##  [1] 102.08279  97.17549  92.58788  88.97812  87.03165  86.39967  86.26638
##  [8]  86.26413  86.24674  86.24875  86.25188  86.24689  86.24698

## Model 3

##  [1] 115.84145 111.71738 107.66951 103.79463 100.28341  97.15415  94.36024
##  [8]  92.06244  90.27261  89.02348  88.09694  87.48199  87.04237