数学科学学院学术报告[2023] 083号

(高水平大学建设系列报告855号)

报告题目:Efficient Valuation of Guaranteed Minimum Accumulation Benefits with Surrender Risk

报告人：张志民教授（重庆大学）

报告时间：2023年11月24日下午15:30-16:30

讲座地点：深圳大学汇星楼514

报告内容：This paper studies the valuation and surrender risk of the guaranteed minimum accumulation benefit (GMAB) rider in a variable annuity under a L´evy-driven equity market. At each contract renewal date, the insurer updates the policyholder’s account value to the higher of a guaranteed value and the equity-linked investment value. The administration fees are deducted continuously as a fixed percentage from the policyholder’s account. The policyholder is allowed to surrender the contract before maturity and retrieves the surrender benefit after charging a penalty. The surrender decisions are made according to two monitoring mechanisms: (i) the policyholder only makes surrender decisions at renewal dates; (ii) the policyholder makes surrender decisions by (frequently) tracking the account value. With the aid of the dynamic programming approach, optimal surrender strategies are derived, and hence an efficient and accurate valuation problem has been established and solved by the COS method. Numerical experiments illustrate the efficiency of the proposed approach and extensive analysis investigates how parameters influence valuation results.

报告人简介：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、金融数学模型、风险管理与精算学、非参数统计、机器学习等。已经发表SCI或SSCI论文60余篇。作为项目负责人，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3项横向课题。

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邀请人：李婧超

数学科学学院

2023年11月21日