随机利率模型下的变额年金定价研究

Study on valuation of guaranteed lifelong withdrawal benefit under stochastic interest rates

在随机利率环境下,当标的资产服从几何布朗运动时,探讨了具有终身取款利益保证(GLWB)的变额年金的定价.并将该变额年金产品分解为生存利益和死亡利益,给出相应的变额年金价格公式.对影响变额年金价格变化的因素进行了敏感性分析.

Using martingale method, this paper discussed a theoretical model for the pricing of guaranteed lifelong withdrawal benefit （GLWB） options embedded in variable annuity products under the stochastic interest framework and underling asset follow to geometric brownian motion （GBM）. The valuation approach was based on the decomposition of the product into living and death benefits,found the price formula of variable annuity. And developed a sensitivity analysis, which showed how the value of the product varies with the key parameters.