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Title: Analytic Formulae for Valuing Guaranteed Minimum Withdrawal Benefits in a Multi-Asset Framework
Authors: 楊曉文
Yang, Sharon S.
Wang, Chou-Wen
Liu, I-Chien
Contributors: 金融系
Keywords: 保證最低提領給付;解析解公式;平均值概念;反咖瑪分配;對數常態分配
Guaranteed minimum withdrawal benefits;analytic formulae;averaging concept;reciprocal gamma distribution;lognormal distribution
Date: 2019-07
Issue Date: 2020-05-26 10:52:44 (UTC+8)
Abstract: 本文試圖找到於多資產架構下保證最低提領給付(GMWB)之解析解公式。假設每個資產過程皆依據幾何布朗運動,藉運用反咖瑪與對數常態分配之平均值概念近似有相關性的對數常態隨機變數之和,我們得到GMWB之解析解公式。其數值顯示平均值概念之解析解公式表現精確,用於長期保單時亦然。評價GMWB時,此解析解公式具有顯著優勢與效率。
This study attempts to find the analytic formulae for valuing guaranteed minimum withdrawal benefits (GMWB) in a multi-asset framework. With the assumption that each equity process follows a geometric Brownian motion, we obtain the analytic formulae for GMWB by approximating the sum of the correlated lognormal variables using the averaging concept of reciprocal gamma and lognormal distributions. Numerical experiments show that analytic formulae of the averaging concept are accuracy, even for long-duration policies. Thus, the analytic formulae provide the significant advantage and efficiency in valuing GMWB.
Relation: Journal of Financial Studies,
Data Type: 期刊論文
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Appears in Collections:[金融學系] 期刊論文

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