论文标题
变量年金的模型调整
Out-of-Model Adjustments of Variable Annuities
论文作者
论文摘要
本文研究了黑色 - choles（BS）模型的模型在定价和风险管理的变量年金中的风险，其在保险行业中的广泛使用促进了。具体而言，我们将可变年金的无契约价格的无模型分解与BS型号的价格与三个模型的调整项结合使用。这阐明了产品背后的所有风险驱动因素，即现货价格，实现的波动，未来的微笑和次优戒断。鉴于市场与模型假设不同，我们进一步研究了基于BS的对冲策略的功效。我们透露，该战略始终可以消除现货风险，而篱笆的累积p \＆l表现出逐渐滑动和瞬时泄漏。我们最终表明，在管理可变年金的风险方面，可以将价格，风险和对冲模型彼此分开。
This paper studies the model risk of the Black-Scholes (BS) model in pricing and risk-managing variable annuities motivated by its wide usage in the insurance industry. Specifically, we derive a model-free decomposition of the no-arbitrage price of the variable annuity into the BS model price in conjunction with three out-of-model adjustment terms. This sheds light on all risk drivers behind the product, that is, spot price, realized volatility, future smile, and sub-optimal withdrawal. We further investigate the efficacy of the BS-based hedging strategy given the market diverges from the model assumptions. We disclose that the spot price risk can always be eliminated by the strategy and the hedger's cumulative P\&L exhibits gradual slippage and instantaneous leakage. We finally show that the pricing, risk and hedging models can be separated from each other in managing the risks of variable annuities.
