在Hull-White 隨機利率下評價保證最低提領給付保險附約

Abstract

附保證的保險商品在市場上有越來越熱門的趨勢，該保險商品結合投資和保險的觀念，能夠作為未來退休生活的退休金規劃或是生涯規劃，是能保障老年生活的一項投資選擇，本文以分析Guaranteed Minimum Withdrawal Benefit --GMWB商品，延續Milevsky and Salisbury (2006)的討論，利用立體三元樹模型，考慮利率隨機性，在Hull-White Interest Rate Model的基礎下，建置出模擬帳戶價值變動路徑的樹狀模型，進而以更貼近實務的方式來進行GMWB商品的評價。

The insurance contract with guaranteed withdrawals has become more popular recently. This product can meet the customer’s investment and insurance requirements so the customer can deal with the retirement financial plan better. This paper extends Milevsky and Salisbury (2006) assumptions, by pricing the Guaranteed Minimum Withdrawal Benefit (GMWB) with Hull-White Stochastic Interest Rate. To fit the real world market better, we construct a three-dimensional trinomial-tree structure to pricing the GMWB and the policyholder receives withdrawal benefits not continuously but discretely. In our model, we can also discuss the effect of accumulation period on pricing GMWB.