Pricing of Guaranteed Minimum Withdrawal Benefit in Variable Annuities under Stochastic Interest Rates

摘要：

In this paper we develop an approach to analyzing the financial value of GMWB policy in variable annuities under the stochastic interest rate and present the PDE valuation model by focusing on the future value of all cash-flows and payments.Our model generalizes some previous pricing results based on deterministic interest rates.Using the finite difference algorithm,we compute the policy value under Vasicek model and compare the outcomes with previous model.The numerical tests show that the policy value will decrease as the initial interest rate increases.

关键词： GMWB variable annuity stochastic interest rate fair pricing PDE method

作者: Zhijun Xu

作者单位: East China Institute of Technology,Fuzhou,Jiangxi 344000;China Institute of Risk Management,Tongji University,Shanghai 200092,China

会议类型: 国际会议

会议名称: 2008 International Conference on System Management(2008年系统管理学术研讨会)(2008 CSM)

会议地点: 上海

会议语种:英文

页码: 373-378

在线出版日期: 2008-05-30（万方平台首次上网日期，不代表论文的发表时间）