可变年金定价、估值与风险管理:一项调查

IF 1.6 3区经济学 Q3 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS

Scandinavian Actuarial Journal Pub Date : 2022-03-28 DOI:10.1080/03461238.2022.2049635

Runhuan Feng, Guojun Gan, Ning Zhang

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引用次数: 10

摘要

可变年金可以说是金融市场上最复杂的个人退休计划产品。它的复杂性源于各种各样的产品功能，包括投资选择、保证收益、退出选择等。在许多方面，可变年金可以被视为传统的人寿和年金产品，在更高的复杂程度上增加了财务选择。尽管从业人员和学者就该主题发表了大量的出版物，但很少有研究论文系统地利用了可变年金操作的基本原则。这篇调查论文旨在填补文献中的空白，以概述最先进的技术和可变年金发展的最新趋势。

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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Variable annuity pricing, valuation, and risk management: a survey

Variable annuity is arguably the most complex individual retirement planning product in the financial market. Its intricacy stems from a variety of product features including investment options, guaranteed benefits, withdrawal options, etc. In many ways, variable annuities can be viewed as traditional life and annuity products at the next level of sophistication with added financial options. Despite a significant amount of publications by practitioners and academics on the subject matter, there have been few research papers that systematically exploit the basic principles underlying the operation of variable annuities. This survey paper aims to fill in the gap in the literature for an overview of state-of-the-art technology and recent trends in the development of variable annuities.

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来源期刊

Scandinavian Actuarial Journal MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-STATISTICS & PROBABILITY

CiteScore

3.30

自引率

11.10%

发文量

审稿时长

>12 weeks

期刊介绍： Scandinavian Actuarial Journal is a journal for actuarial sciences that deals, in theory and application, with mathematical methods for insurance and related matters. The bounds of actuarial mathematics are determined by the area of application rather than by uniformity of methods and techniques. Therefore, a paper of interest to Scandinavian Actuarial Journal may have its theoretical basis in probability theory, statistics, operations research, numerical analysis, computer science, demography, mathematical economics, or any other area of applied mathematics; the main criterion is that the paper should be of specific relevance to actuarial applications.