报告题目：Valuing Equity-linked Death Benefits under Trinomial Tree Model

报告人：Hailiang Yang教授

(Department of Statistics and Actuarial Science , The University of Hong Kong)

摘 要：We study discrete-time models in which death benefits can depend on a stock price index, which is modeled using a trinomial tree. Examples of such benefit payments include put and call options, barrier options, and lookback options. Because the distribution of the curtate-future-lifetime can be approximated by a linear combination of geometric distributions, it suffices to consider curtate –future -lifetimes with a geometric distribution. Closed-form expressions for the expectations of the discounted benefit payment are obtained for a series of options. They are based on results concerning geometric stopping of a random walk, in particular also on a version of the Wiener-Hopf factorization. This talk is based on a joint paper with Hans U. Gerber and Elias S.W. Shiu.

报告时间：2016.3.7（周一）下午1：30-3：20

报告地点：中央财经大学中国精算研究院会议室506

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