Fig 10

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

• Contract expires at T = 15 years
• Age of the policyholder at contract inception is 50
• Both GMAB and GMDB pay the minimum amount as the roll-up of premium.
• The roll-up rates is 2%
• The fee is constant and varies from 1% to 13%
• The surrender penalty is 2% constant.

With regards to the simulation:

• The number of Monte Carlo simulations will be 20000.
• We’re going to calculate the contract value with all five models.

The regression in LSMC is done only when the account is below the barrier.