线性理性 Wishart 死亡率模型中担保年金选择的定价

IF 1.9 2区经济学 Q2 ECONOMICS

Insurance Mathematics & Economics Pub Date : 2024-01-22 DOI:10.1016/j.insmatheco.2024.01.004

José Da Fonseca

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引用次数: 0

摘要

本文提出了一种新的模型，即线性理性 Wishart 模型，该模型允许对死亡率和利率风险进行联合建模。在此框架内，我们得到了生存债券和生存浮动利率债券的闭式解。我们还推导出了保证年金期权（即生存（浮动利率）债券总和的期权）的闭式解法，该解法可通过一维数值积分明确计算，与模型维度无关。利用现实的参数值，我们为这些复杂的导数提供了一个模型实现方法，说明了线性有理 Wishart 模型的灵活性和效率。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Pricing guaranteed annuity options in a linear-rational Wishart mortality model

This paper proposes a new model, the linear-rational Wishart model, which allows the joint modelling of mortality and interest rate risks. Within this framework, we obtain closed-form solutions for the survival bond and the survival floating rate bond. We also derive a closed-form solution for the guaranteed annuity option, i.e., an option on a sum of survival (floating rate) bonds, which can be computed explicitly up to a one-dimensional numerical integration, independent of the model dimension. Using realistic parameter values, we provide a model implementation for these complex derivatives that illustrates the flexibility and efficiency of the linear-rational Wishart model.

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来源期刊

Insurance Mathematics & Economics 管理科学-数学跨学科应用

CiteScore

3.40

自引率

15.80%

发文量

审稿时长

17.3 weeks

期刊介绍： Insurance: Mathematics and Economics publishes leading research spanning all fields of actuarial science research. It appears six times per year and is the largest journal in actuarial science research around the world. Insurance: Mathematics and Economics is an international academic journal that aims to strengthen the communication between individuals and groups who develop and apply research results in actuarial science. The journal feels a particular obligation to facilitate closer cooperation between those who conduct research in insurance mathematics and quantitative insurance economics, and practicing actuaries who are interested in the implementation of the results. To this purpose, Insurance: Mathematics and Economics publishes high-quality articles of broad international interest, concerned with either the theory of insurance mathematics and quantitative insurance economics or the inventive application of it, including empirical or experimental results. Articles that combine several of these aspects are particularly considered.