教育部人文社科重点研究基地中央财经大学中国精算研究院学术活动

精算论坛第251期讲座

(2024年11月29日)

讲座主题：Pricing GLWB Annuities with LTC Options under Stochastic Volatility Models

摘要：In this paper, we investigate the valuation of Guaranteed Lifelong Withdrawal Benefit (GLWB) annuities within a general stochastic volatility framework, incorporating a Long-Term Care (LTC) option linked to the policyholder's health status. Specifically, under the designed product structure, a certain activation period is provided during which the policyholder can flexibly decide whether to activate the LTC option embedded in the annuity based on their health-related needs. This product offers policyholders protection against longevity risk and market downturns while providing financial support in the event of long-term care needs. By combining the Fourier-Cosine (COS) method with two-dimensional cubic spline interpolation, we develop an efficient pricing framework for GLWB annuities with general stochastic volatility dynamics. Numerical results validate the accuracy and efficiency of the method. Furthermore, we perform a sensitivity analysis on key parameters affecting GLWB annuity pricing.

报告人：张志民

张志民，重庆大学教授、博士生导师，重庆市学术技术带头人，香港大学和墨尔本大学访问学者。目前担任中国工业与应用数学学会理事，中国现场统计研究会风险管理与精算分会常务理事，重庆市统计学会理事等。主要研究兴趣为金融统计、金融数学、风险管理与精算学、统计学习、机器学习等。已经发表高水平论文80余篇。主持1项国家自然基金青年基金和3项面上项目，1项教育部博士点基金，2项重庆市自然基金和4横向课题。

讲座时间：2024年11月29日（周五）

上午9:30-11:00

报告地点：腾讯会议447-438-078

邀 请 人：孟辉