【金融系学术讲座】讲座题目:Valuation of Guaranteed Minimum Death Benefits
日期: 2019-04-08


嘉宾介绍


         Hai.Liang. Yang, Professor, department of Statistics & Actuarial Science of the University of Hong Kong. 2004, elected member of the International Statistical Institute. 2014, got honorary Fellow of the Institute and Faculty of Actuaries. July 2007 – 2017, got Zijiang Professor (honorary). Now, Professor Yang is associate editor of Mathematics and Economics, theSpringer Actuarial series, North American Actuarial Journal, An International Journal of Probability and Stochas-tic Processes. 2 Books edited, 176 international journal papers, 7 Chinese Journal Papers,

Research Interests: Interests are actuarial science and mathematical finance. Research areas include insurance risk models, ruin theory, optimal dividends strategies, option pricing under regime switching models, optimal asset allocation, equity linked insurance products.



 

讲座摘要


      We consider valuation of the Guaranteed Minimum Death Benefits in various deferred annuities. The payment of the products depends on the price of a stock at that time and possibly also on the history of the stock price.  Because each time-until-death distribution can be approximated by a combination of exponential distributions, the analysis is made for the case where the time until death is exponentially distributed.  The time-until-death random variable is assumed to be independent of the stock price process. The logarithm of the index process can be a Brownian motion, a jump-diffusion process or a random walk.  We are able to obtain closed-form formulas for the contingent call and put options, for lookback options, and for barrier options. Using the simple closed-form formulas, Greek letters can be calculated easily. This provides a way of managing the risk of this class of products.