A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions

Sharon S. Yanga, Tian-Shyr Dai*

*此作品的通信作者

研究成果: Article同行評審

28 引文 斯高帕斯(Scopus)

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.

原文English
頁(從 - 到)231-242
頁數12
期刊Insurance: Mathematics and Economics
52
發行號2
DOIs
出版狀態Published - 1 3月 2013

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