政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/111649

政大典藏 > College of Commerce > Department of Risk Management and Insurance > Periodical Articles > Item 140.119/111649

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/111649

Title:	Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
Authors:	Dai, Tian-Shyr;Yang, Sharon S.;Liu, Liang-Chih 楊曉文
Contributors:	風險管理與保險學系
Keywords:	uaranteed life withdrawal benefits;Surrender option;Variable annuity;Interest rate risk;Mortality risk
Date:	2015-09
Issue Date:	2017-08-07 17:39:45 (UTC+8)
Abstract:	Many variable annuity products associated with guaranteed minimum withdrawal benefit (GMWB) or its lifelong version, a guaranteed lifelong withdrawal benefit (GLWB), have enjoyed great market success in the United States and Asia. The interaction impacts among complex policy provisions and the randomness of the account value of the policy, the prevailing interest rate, as well as the mortality rate may significantly influence the evaluations of GMWBs/GMLBs, especially when the guaranteed payments are made over a long, or even a lifelong, horizon. To deal with aforementioned risk factors and policy provisions, this paper proposes a novel three-dimensional (3D) tree that can analyze how different policy provisions influence the evaluation of GMWB/GLWBs under investment interest rate, and mortality risks simultaneously. The orthogonalization method is used to convert correlated dynamics of the account value of the policy and the short-term interest rate into two independent processes that can be easily simulated by our 3D tree. Besides, the structure of our 3D tree is sophisticatedly designed to avoid the unstable (oscillating) pricing results phenomenon that has characterized many numerical pricing methods. Rigorous numerical experiments are given to analyze the interaction effects among policy provisions and the aforementioned risk factors on the evaluation of GMWBs/GLWBs. © 2015 Elsevier B.V.
Relation:	Insurance: Mathematics and Economics, 64(), 364-379
Data Type:	article
DOI link:	http://dx.doi.org/10.1016/j.insmatheco.2015.04.003
DOI:	10.1016/j.insmatheco.2015.04.003
Appears in Collections:	[Department of Risk Management and Insurance] Periodical Articles

Files in This Item:

File	Description	Size	Format
j.insmatheco.2015.04.003.pdf		945Kb	Adobe PDF2	395	View/Open

社群 sharing

Loading...