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MSc Financial Engineering2012 - 2014 (2 years)
BSc (Hons): Actuarial Science2008 - 2011 (3 years)
Actuarial qualification (2018)Institute and Faculty of Actuaries - UK
Academically qualified actuary with the Institute and Faculty of Actuaries - UK.
Pricing variable annuity guarantees in South Africa under a Variance-Gamma framework
The purpose of this study is to investigate the pricing of variable annuity embedded derivatives using a suitably refined model for the underlying assets, in this case the Johannesburg Securities Exchange FTSE/JSE All Share Index (ALSI). This is a practical issue that life insurers face worldwide in the management of embedded derivatives. We consider the Variance-Gamma (VG) framework to model the underlying data series.