蒙特卡罗方法在基于最低提取利益保证的变额年金定价中的应用

最低提取利益保证是嵌于变额年金内的看跌期权,本文应用风险中性理论,对带有重置条款、奖励条款、惩罚条款的最低提取利益保证进行了定价模型的构建,在此基础上使用模特卡罗方法对定价结果进行了模拟,得到与既定保费相对应的公平保证费,并考察了定价变量变动对公平保证费率的影响。

The guaranteed minimum withdrawal benefits are put options embedded in variable annuity. This paper applies the risk - neutral theory when building the pricing model of guaranteed minimum withdrawal benefits, and adds the reset feature, bonus feature and the penalty feature in the model. Based on the model, this paper uses Monte Carlo method to simulate the pricing results to get the fair guarantee fee, which is the function of the premium. Last, this paper studies the impact of pricing variable on the fair guarantee fee.