完整後設資料紀錄
DC 欄位語言
dc.contributor.authorDai, Tian-Shyren_US
dc.contributor.authorYang, Sharon S.en_US
dc.contributor.authorLiu, Liang-Chihen_US
dc.date.accessioned2015-12-02T02:59:31Z-
dc.date.available2015-12-02T02:59:31Z-
dc.date.issued2015-09-01en_US
dc.identifier.issn0167-6687en_US
dc.identifier.urihttp://dx.doi.org/10.1016/j.insmatheco.2015.04.003en_US
dc.identifier.urihttp://hdl.handle.net/11536/128296-
dc.description.abstractMany variable annuity products associated with guaranteed minimum withdrawal benefit (GMWB) or its lifelong version, a guaranteed lifelong withdrawal benefit (GLWB), have enjoyed great market success in the United States and Asia. The interaction impacts among complex policy provisions and the randomness of the account value of the policy, the prevailing interest rate, as well as the mortality rate may significantly influence the evaluations of GMWBs/GMLBs, especially when the guaranteed payments are made over a long, or even a lifelong, horizon. To deal with aforementioned risk factors and policy provisions, this paper proposes a novel three-dimensional (3D) tree that can analyze how different policy provisions influence the evaluation of GMWB/GLWBs under investment interest rate, and mortality risks simultaneously. The orthogonalization method is used to convert correlated dynamics of the account value of the policy and the short-term interest rate into two independent processes that can be easily simulated by our 3D tree. Besides, the structure of our 3D tree is sophisticatedly designed to avoid the unstable (oscillating) pricing results phenomenon that has characterized many numerical pricing methods. Rigorous numerical experiments are given to analyze the interaction effects among policy provisions and the aforementioned risk factors on the evaluation of GMWBs/GLWBs. (C) 2015 Elsevier B.V. All rights reserved.en_US
dc.language.isoen_USen_US
dc.subjectGuaranteed life withdrawal benefitsen_US
dc.subjectSurrender optionen_US
dc.subjectVariable annuityen_US
dc.subjectInterest rate risken_US
dc.subjectMortality risken_US
dc.titlePricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risksen_US
dc.typeArticleen_US
dc.identifier.doi10.1016/j.insmatheco.2015.04.003en_US
dc.identifier.journalINSURANCE MATHEMATICS & ECONOMICSen_US
dc.citation.volume64en_US
dc.citation.spage364en_US
dc.citation.epage379en_US
dc.contributor.department資訊管理與財務金融系 註:原資管所+財金所zh_TW
dc.contributor.departmentDepartment of Information Management and Financeen_US
dc.identifier.wosnumberWOS:000362133800031en_US
dc.citation.woscount0en_US
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