Academic Report of School of Mathematical Sciences [2025] No. 129  

(Series Report for High-Level University Construction No. 1231)  

Title: Efficient Pricing and Greeks Estimation for Variable Annuities under a Multivariate OUSV Model  

Speaker: Professor Zhang Zhimin (Chongqing University)  

Time: 14:00–15:00, November 22, 2025 (Saturday)  

Location: Room 2433, Huiwen Building  

Abstract:  

As the understanding of GMxB-related risks deepens, insurance companies are increasingly seeking efficient annuity risk management systems. This paper is the first to extend the Karhunen-Loève (KL) expansion method to the pricing and Greeks estimation of the GMxB variable annuities written on multiple sub-account funds, under the multivariate Ornstein-Uhlenbeck stochastic volatility model. Additionally, the simulation-based path-wise (PW) and likelihood ratio (LR) methods are generalized for efficient Greeks computation within the multi-asset annuity framework. Through asymptotic analysis, we address a theoretical gap in the original KL expansion sampling framework. Numerical experiments demonstrate that the proposed method achieves computational efficiency and robustness, providing a practical and reliable framework for the risk management of complex multi-asset variable annuities.  

Speaker Biography:  

Zhang Zhimin is a Professor and Doctoral Supervisor at Chongqing University, and an Academic Leader in Chongqing. He has been a visiting scholar at the University of Hong Kong and the University of Melbourne. He currently serves as a Council Member of the Chinese Society of Industrial and Applied Mathematics, a Standing Council Member of the Quantitative Finance and Insurance Branch of the Chinese Society of Optimization, Overall Planning and Economic Mathematics, and a Council Member of the Chongqing Statistical Society. His main research interests include actuarial science, financial mathematics, statistical learning, and machine learning. He has published over 80 high-quality papers, including more than 20 in top actuarial journals such as IME, AB and SAJ. He has presided over four National Natural Science Foundation of China projects, as well as several provincial/ministerial-level and industry-funded projects.  

All faculty and students are welcome!  

Host: Li Jingchao  

School of Mathematical Sciences  

November 20, 2025