کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5076640 1477217 2014 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Pricing and hedging of variable annuities with state-dependent fees
ترجمه فارسی عنوان
قیمت گذاری و هدر دادن درآمد های متغیر با هزینه های وابسته به دولت
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
We investigate the problem of pricing and hedging variable annuity contracts for which the fee deducted from the policyholder's account depends on the account value. It is believed that state-dependent fees are beneficial to policyholders and insurers since they reduce policyholders' incentives to lapse the policies and match the costs incurred by policyholders with the pay-offs received from embedded guarantees. We consider an incomplete financial market which consists of two risky assets modelled with a two-dimensional Lévy process. One of the assets is a security which can be traded by the insurer, and the second asset is a security which is the underlying fund for the variable annuity contract. In our model we derive an equation from which the fee for the guaranteed benefit can be calculated and we characterize a strategy which allows the insurer to hedge the benefit. To solve the pricing and hedging problem in an incomplete financial market we apply a quadratic objective.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 58, September 2014, Pages 24-33
نویسندگان
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