“数理讲堂”2024年第7期:Valuation of Guaranteed Lifelong Withdrawal Benefit with Long-term Care Option

发布时间:2024-04-25 供稿:数理与统计学院 分享至:

主题:Valuation of Guaranteed Lifelong Withdrawal Benefit with Long-term Care Option

时间:2024年04月25日 15:00-16:30

地点:腾讯会议:438-014-7163

主持人:姜荣 教授

报告人简介:

张志民,重庆大学教授、博士生导师,重庆市学术技术带头人,香港大学和墨尔本大学访问学者。目前担任中国工业与应用数学学会理事,中国现场统计研究会风险管理与精算分会常务理事,重庆市统计学会理事等。主要研究兴趣为金融统计、金融数学、风险管理与精算学、统计学习、机器学习等。已经发表SCI或SSCI论文70余篇,其中多篇论文发表在保险精算高水平杂志IME、SAJ、ASTIN Bulletin上。作为项目负责人,主持1项国家自然基金青年基金和3项面上项目,1项教育部博士点基金,2项重庆市自然基金和3项横向课题。

讲座简介:

In this work, under the stochastic interest rate framework, we consider the valuation of a Guaranteed Lifelong Withdrawal Benefit (GLWB) annuity product by explicitly incorporating the health state of the policyholder through the long-term care (LTC) option. The product provides policyholder with protection against longevity risk and market downturns, as well as financial support when facing long-term care needs. Within the context of dynamic withdrawals, the valuation of the GLWB annuity is characterized as a stochastic optimal control problem. We introduce a novel bang-bang analysis approach without the usual convexity assumption in literature, and prove that the optimal withdrawal strategies for the policyholder are constrained to a finite set. Furthermore, we conducted a sensitivity analysis of the determinants of the price of GLWB annuities. Specifically, we investigate the impact of fluctuations in interest rates and gender factors on the fair fee of GLWB and optimal withdrawal strategies, and provide economic explanations.

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