Variable annuity pricing, valuation, and risk management: a survey

Variable annuity is arguably the most complex individual retirement planning product in the financial market. Its intricacy stems from a variety of product features including investment options, guaranteed benefits, withdrawal options, etc. In many ways, variable annuities can be viewed as traditional life and annuity products at the next level of sophistication with added financial options. Despite a significant amount of publications by practitioners and academics on the subject matter, there have been few research papers that systematically exploit the basic principles underlying the operation of variable annuities. This survey paper aims to fill in the gap in the literature for an overview of state-of-the-art technology and recent trends in the development of variable annuities.