Equity-Linked Insurance

Equity-linked insurance is arguably the most complex product in the insurance industry, combining traditional life and annuities with financial optionality. Runhuan has written extensively to develop computational methods for pricing, valuation and risk management of equity-linked insurance, with particular focus on variable annuity guaranteed benefits. Many of these projects are funded by the Society of Actuaries and the Actuarial Foundation.

 


R. Feng, B. Yi. (2019) Quantitative modeling of risk management strategies: stochastic reserving and dynamic hedging of variable annuity guaranteed benefits. Insurance: Mathematics and Economics, 14, 50–73. Download

R. Feng, A. Kuznetsov, F. Yang. (2019) Exponential functionals and variable annuity guaranteed benefits. Stochastic Processes and Their Applications, 22(2), 604–625. Download

Z. Cui, R. Feng, A. MacKay. (2017) Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model. North American Actuarial Journal, 21(3), 458–483. Download

R. Feng, X. Jing, J. Dhaene. (2017) Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior. Journal of Computational and Applied Mathematics, 311, 272–292. Download

R. Feng, J. Vecer. (2017) Risk-based capital requirements for guaranteed minimum withdrawal benefit. Quantitative Finance, 17(3), 471–478. Download

R. Feng, X. Jing. (2016) Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits. Insurance: Mathematics and Economics, 72, 36–48. Download

R. Feng, Y. Shimizu. (2016) Applications of central limit theorems for equity-linked insurance. Insurance: Mathematics and Economics, 69, 138–148. Download

R. Feng, A. Kuznestov, F. Yang. (2016) A short proof of duality relations for hypergeometric functions. Journal of Mathematical Analysis and Applications, 443(1), 116–122. Download

R. Feng, H. Huang. (2016) Statutory financial reporting for variable annuity guaranteed death benefits: Market practice, mathematical modeling and computation. Insurance: Mathematics and Economics, 67, 54–64. Download

R. Feng, H.W. Volkmer. (2016) An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit. Mathematics and Financial Economics, 10(2), 127–149. Download

R. Feng, H.W. Volkmer. (2014) Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits. ASTIN Bulletin, 44 (3), 653–681. Download

R. Feng. (2014) A comparative study of risk measures for guaranteed minimum maturity benefits by a PDE method. North American Actuarial Journal, 18(4), 445–461. Download

R. Feng, H.W. Volkmer. (2012) Analytical calculation of risk measures for variable annuity guaranteed benefits, Insurance: Mathematics and Economics, 51 (3), 636–648. Download

Runhuan Feng
Runhuan Feng

PhD, FSA, CERA

Associate Professor

Director of Actuarial Science

H.P. Petit Professorial Scholar

State Farm Companies Foundation Scholar