基于效用的资产配置GMDB期权分析估值

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2022-03-09 DOI:10.1080/03461238.2022.2034127

Eric R. Ulm

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引用次数: 1

摘要

在各种死亡规律下，对可变年金保证最低死亡收益(GMDB)期权值进行了分析。迄今为止，这些解决方案仅适用于风险中性估值。在允许保单持有人决策的情况下，假设他们的行为是为了最大化GMDB的风险中性价值。我们研究了资产配置决策是为了最大化预期效用而不是期权价值的情况。我们找到了在遗赠动机的小值条件下保费回报和棘轮期权的解析解。

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Analytic valuation of GMDB options with utility based asset allocation

A number of analytic solutions have been found for Variable Annuity Guaranteed Minimum Death Benefit (GMDB) option values under a variety of mortality laws. To date, the solutions are for Risk-Neutral valuation only. Where policyholder decisions are allowed, it is assumed that they act to maximize the risk-neutral value of the GMDB. We examine situations where the asset allocation decisions are made to maximize expected utility rather than option value. We find analytic solutions for both return of premium and ratchet options at small values of bequest motive for a number of mortality laws.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.