论文标题
在随机死亡率和制度转换下，傅立叶时空时间步变框架的风险管理最低限度的最低成熟福利
Risk management of guaranteed minimum maturity benefits under stochastic mortality and regime-switching by Fourier space time-stepping framework
论文作者
论文摘要
在本文中，我们采用了一个净责任模型，该模型评估了责任方面的市场风险和资产方面的收入风险，以确保嵌入可变年金（VA）合同中的保证最低成熟益处（GMMB）。净负债，公平费用和GMMB的希腊人的数字解决方案是通过更准确，更快的傅立叶时空时间步变（FST）算法获得的。提供蒙特卡洛结果是出于比较目的。引入了未经调整的和三个静态对冲投资组合，并通过比较短期和长期投资组合的波动来评估其性能。最近，我们注意到FST算法只能用于对冲GMMB的总责任，并且在将FST算法应用于净负债模型时会导致不正确的结果。我们已经修改了对冲部分中使用的方法，并立即获得了可靠的结果。它们将在不久的将来报告。
In this paper, we adopted a net liability model which assesses both market risk on the liability side and revenue risk on the asset side for a Guaranteed Minimum Maturity Benefit (GMMB) embedded in variable annuity (VA) contracts. Numeric solutions for net liabilities, fair rate of fees and Greeks of GMMB are obtained by a more accurate and fast Fourier Space time-stepping (FST) algorithm. Monte Carlo results are provided for comparative purpose. The unhedged and three statically hedged portfolios are introduced, and their performances are assessed by comparing the short term and long term portfolio's volatility. Recently, we noticed FST algorithm can only be used to hedge the gross liability of GMMB and it leads to an incorrect result when applying FST algorithm to the net liability model. We have modified the method we used in the hedging part and obtained the reliable result now. They will be reported in near future.
