考虑死亡风险下提供动态提款收益和最低保障的变额年金定价

Pricing variable annuities with dynamic withdrawal benefit and minimum guarantee under mortality risk

主要考虑了一类新的变额年金,该年金满足在合约累积期内保险公司给投保人提供一个动态的提款收益DWB(dynamic withdrawal benefit)和最低收益保障.本文在考虑死亡风险情况下,利用反射布朗运动的性质以及资产定价原则,给出了该类变额年金合约的定价公式的显示表达式.

This paper mainly considers a new variable annuities, which provides a dynamic withdrawal benefit （DWB） and guarantees a minimum return during the contract period. Under the mortality risk, using results pertaining to reflected Brownian motion and asset pricing principle, explicit pricing formulas for the variable annuities are obtained.