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題名 A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
作者 Yang, Sharon S.;Dai, T.S.
楊曉文
貢獻者 風險與保險研究中心
關鍵詞 Deferred variable annuity; Guaranteed minimum withdrawal benefits; Rollup interest rate guarantees; Surrender options; Tree model
日期 2013-03
上傳時間 21-May-2015 16:57:24 (UTC+8)
摘要 Valuing guaranteed minimum withdrawal benefit (GMWB) has attracted significant attention from both the academic field and real world financial markets. However, some popular provisions of GMWB contracts, like the deferred life annuity structure, rollup interest rate guarantees, and surrender options are hard to be evaluated analytically and are rarely addressed in the academic literature. This paper proposes a flexible tree model that can accurately evaluate the values and the fair insurance fees of GMWBs. The flexibility of our tree allows us to faithfully implement the aforementioned provisions without introducing significant numerical pricing errors. The mortality risk can also be easily incorporated into our pricing model. Our numerical results verify the robustness of our tree and demonstrate how the aforementioned provisions and the mortality risk significantly influence the values and the fair insurance fees of GMWBs. © 2012 Elsevier B.V.
關聯 Insurance: Mathematics and Economics, 52(2), 231-242
資料類型 article
DOI http://dx.doi.org/10.1016/j.insmatheco.2012.12.005
dc.contributor 風險與保險研究中心
dc.creator (作者) Yang, Sharon S.;Dai, T.S.
dc.creator (作者) 楊曉文zh_TW
dc.date (日期) 2013-03
dc.date.accessioned 21-May-2015 16:57:24 (UTC+8)-
dc.date.available 21-May-2015 16:57:24 (UTC+8)-
dc.date.issued (上傳時間) 21-May-2015 16:57:24 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/75261-
dc.description.abstract (摘要) Valuing guaranteed minimum withdrawal benefit (GMWB) has attracted significant attention from both the academic field and real world financial markets. However, some popular provisions of GMWB contracts, like the deferred life annuity structure, rollup interest rate guarantees, and surrender options are hard to be evaluated analytically and are rarely addressed in the academic literature. This paper proposes a flexible tree model that can accurately evaluate the values and the fair insurance fees of GMWBs. The flexibility of our tree allows us to faithfully implement the aforementioned provisions without introducing significant numerical pricing errors. The mortality risk can also be easily incorporated into our pricing model. Our numerical results verify the robustness of our tree and demonstrate how the aforementioned provisions and the mortality risk significantly influence the values and the fair insurance fees of GMWBs. © 2012 Elsevier B.V.
dc.format.extent 555331 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) Insurance: Mathematics and Economics, 52(2), 231-242
dc.subject (關鍵詞) Deferred variable annuity; Guaranteed minimum withdrawal benefits; Rollup interest rate guarantees; Surrender options; Tree model
dc.title (題名) A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1016/j.insmatheco.2012.12.005
dc.doi.uri (DOI) http://dx.doi.org/10.1016/j.insmatheco.2012.12.005