保证最低死亡抚恤金的共同人寿可变年金的有效估值

IF 4.4 2区数学 Q1 COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS

Mathematics and Computers in Simulation Pub Date : 2025-04-10 DOI:10.1016/j.matcom.2025.04.001

Jiayi Xie , Zhimin Zhang , Zhenyu Cui

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引用次数: 0

摘要

在本文中，我们介绍了一种有效的评估方法的可变年金（VAs），保证最低死亡利益（gmdb），其中的利益取决于两个生命的合并生存状态，如一对已婚夫妇。我们假设风险资产价格是一个一般的指数lsamvy过程，并提出了一种创新的双变量拉盖尔级数展开式与投影（PROJ）方法的组合来评估联合寿命价值。我们导出了三种类型GMDB骑手的显式近似公式。数值算例表明，该方法具有较高的计算精度和计算效率。

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Efficient valuation of joint life variable annuities with guaranteed minimum death benefits

In this paper, we introduce an efficient valuation method for variable annuities (VAs) with guaranteed minimum death benefits (GMDBs), where the benefits depend on the combined survival status of two lives, such as for a married couple. We assume a general exponential Lévy process for the risky asset price and propose an innovative combination of bivariate Laguerre series expansions with the projection (PROJ) method for valuing joint life VAs. We derive explicit approximation formulas for three types of GMDB riders. Numerical examples demonstrate that the proposed method is both highly accurate and computationally efficient.

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来源期刊

Mathematics and Computers in Simulation 数学-计算机：跨学科应用

CiteScore

8.90

自引率

4.30%

发文量

335

审稿时长

54 days

期刊介绍： The aim of the journal is to provide an international forum for the dissemination of up-to-date information in the fields of the mathematics and computers, in particular (but not exclusively) as they apply to the dynamics of systems, their simulation and scientific computation in general. Published material ranges from short, concise research papers to more general tutorial articles. Mathematics and Computers in Simulation, published monthly, is the official organ of IMACS, the International Association for Mathematics and Computers in Simulation (Formerly AICA). This Association, founded in 1955 and legally incorporated in 1956 is a member of FIACC (the Five International Associations Coordinating Committee), together with IFIP, IFAV, IFORS and IMEKO. Topics covered by the journal include mathematical tools in: •The foundations of systems modelling •Numerical analysis and the development of algorithms for simulation They also include considerations about computer hardware for simulation and about special software and compilers. The journal also publishes articles concerned with specific applications of modelling and simulation in science and engineering, with relevant applied mathematics, the general philosophy of systems simulation, and their impact on disciplinary and interdisciplinary research. The journal includes a Book Review section -- and a "News on IMACS" section that contains a Calendar of future Conferences/Events and other information about the Association.