大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,Osaka University

Valuation of Variable Annuity Guarantees

Pavel Shevchenko (Macquarie University)

1. ホーム
2. セミナー・集中講義
3. セミナー
4. Valuation of Variable Annuity Guarantees

大阪大学 数理・データ科学セミナー 金融・保険セミナーシリーズ 第85回

Valuation of Variable Annuity Guarantees

Pavel Shevchenko (Macquarie University)

In this talk we discuss methodologies for fair pricing of variable annuity guarantees such as Guaranteed Minimum Withdrawal Benefit (GMWB). These products offer protection from market downturns and gain from market upside, and may include additional death benefit guarantees. Valuation of these products should simultaneously deal with financial risk, mortality risk and human behavior. We consider valuation under the “optimal” and pre-defined policyholder behaviors, extensions to stochastic mortality and stochastic interest rate models, and valuation in a presence of management fees charged for the management of underlying investment account.