摘要
研究了利率风险对最低提取利益保证定价的影响,考虑死亡风险,分别建立了固定利率和随机利率下最低提取利益保证的定价公式,运用蒙特卡罗法对公平保证费用进行模拟和敏感性分析。结果表明随机利率对公平保证费用有显著影响;相关系数、资产价格波动率、取款率等对公平保证费用的影响程度因利率波动率的不同而不同。
By considering the interest rate risk, the （GMWB） is studied, it is revised by considering the risk of pricing of Guaranteed Minimum Withdrawn Benefit death, the pricing formulas are presented concerning fixed interest rates and stochastic interest rates, respectively, Monte Carlo method is applied to simulate the fair guarantee fee and sensitivity analysis. The simulation results are presented to show that stochastic interest rates have a significant effect on the fair guarantee fee. The affects of the related coefficients, asset price volatilities, withdrawal rates on the fair guarantee fee also vary depending on interest rate volatilities.
出处
《保险职业学院学报》
2014年第6期10-15,共6页
Journal of Insurance Professional College
基金
湖南省社科基金项目(13YBA088)
