论文标题
低利率环境中GMWB年金的估值
Valuation of general GMWB annuities in a low interest rate environment
论文作者
论文摘要
可变年金具有保证的最低提款福利（GMWB），使政策持有人有权定期提款，以及与股票基金绩效相关的终端回报。在本文中，我们考虑了一类GMWB年金的估值，可以考虑死亡率风险和死亡福利，从而允许升级，奖金和投降功能。当允许动态提款时，GMWB年金的估值会导致随机最佳控制问题，我们在此处通过动态编程技术来解决。采用船体白利率模型，与股票基金相关，我们提出了一种有效的基于树的算法。我们对GMWB年金和最佳撤回策略的市场价值的决定因素进行了详尽的分析。特别是，我们研究低/负利率环境的影响。我们的发现表明，低/负率深刻影响最佳撤离行为，并结合升级和奖励功能，大大增加了GMWB年金的公平价值，这只能通过大量的管理费来补偿。
Variable annuities with Guaranteed Minimum Withdrawal Benefits (GMWB) entitle the policy holder to periodic withdrawals together with a terminal payoff linked to the performance of an equity fund. In this paper, we consider the valuation of a general class of GMWB annuities, allowing for step-up, bonus and surrender features, taking also into account mortality risk and death benefits. When dynamic withdrawals are allowed, the valuation of GMWB annuities leads to a stochastic optimal control problem, which we address here by dynamic programming techniques. Adopting a Hull-White interest rate model, correlated with the equity fund, we propose an efficient tree-based algorithm. We perform a thorough analysis of the determinants of the market value of GMWB annuities and of the optimal withdrawal strategies. In particular, we study the impact of a low/negative interest rate environment. Our findings indicate that low/negative rates profoundly affect the optimal withdrawal behaviour and, in combination with step-up and bonus features, increase significantly the fair values of GMWB annuities, which can only be compensated by large management fees.
