Pricing Reset Guaranteed Minimum Withdrawal Benefit in Variable Annuities

摘要：

This paper analyzes the sub-account value process of the reset GMWB and develops PDE frameworks and techniques for determining the financial policy value.Dichotomy is used to depose the pricing problems which dont reset and which have reset and the finite difference methods are provided to solve the equations.The numerical tests show that the policyholder should reset when the sub-account is higher than the guarantee account balance.The fair insurance charge rate will increase when volatility increases,and it could be greater than the general GMWBs fair charge rate.

关键词： Equity-linked policy pricing PDE approach reset GMWB fair insurance charge

作者: Zhijun Xu Junpo Jiang

作者单位: East China Institute of Technology,Fuzhou 344000 ,China Institute of Risk Management,Tongji Universi East China Institute of Technology,Fuzhou 344000 ,China

会议类型: 国际会议

会议名称: The 2008 International Conference on Business Intelligence and Financial Engineering(BIFE 2008)(商业智能和金融工程国际会议)

会议地点: 长沙

会议语种:英文

页码: 937-942

在线出版日期: 2008-10-28（万方平台首次上网日期，不代表论文的发表时间）