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Paper Schedule Reports 指導老師：戴天時 老師 楊曉文 老師 學生： 謝昌宏 Outline What’s Guaranteed Minimum Withdrawal Benefit (GMWB)? Pricing Method See Example * What’s Guaranteed Minimum Withdrawal Benefit (GMWB)? Reference Source：中泰人壽 金富貴外幣變額年金保險 1.Roll-up(複利增值) 2.Ratchet(鎖高機制) 3. Break even(保本) Pricing Method The Bino-trinomial Tree 1. 延續Milevsky and Salisbury(2006)的設計，假設GMWB所投資的標的資產符合幾何布朗運動 2. 帳戶價值會隨著時間有預期報酬的增加以外，還有公平費用率的收取，若假設公平費用率是連續收取，且保戶不能提前解約，則我們可以將帳戶的隨機過程改為： Reference Source : The Bino-trinomial Tree: A Simple Model for E?cient and Accurate Option Pricing * Pricing Method Optimized withdrawal rate Vs. Optimized withdrawal rule reference Kwork - GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES Reference Source : The Bino-trinomial Tree: A Simple Model for E?cient and Accurate Option Pricing * Pricing Method Death Rate - Reduction factors GAM-94（1994）： The value of AAx refer to “1994 GROUP ANNUITY MORTALITY TABLE AND 1994 GROUP ANNUITY RESERVING TABLE”. * Pricing Method Wang Risk Transform Given a distribution function F, its Wang transform is de?ned as where F(x) is the distribution function corresponding to the standard Normal distribution and λ is a parameter called the market price of risk. * Risk-Neutral Death Rate Real-world Death Rate Pricing Method SECURITIZATION OF LONGEVITY RISK: PRICING SURVIVOR BONDS WITH WANG TRANSFORM IN THE LEE-CARTER FRAMEWORK In Belgium, is the appropriate proxy for the market price of an annuity sold to an 65-year-old individual. i = 3.25%, and is the probability that a 65-year-old annuitant does not reach age 65 + t. They get λ65(2005) = ?0.4722883 for men and ?0.2966378 for women. * Pricing Method Death Rate - Transform Death Rate 在此我們令65歲時仍生存的人數為基準，來算出各個年齡下的瞬時死亡率，例如：在2005年為65歲，其未來一年內瞬時死亡率為： * Pricing Method Death Rate - Transform Death Rate 其66歲時，未來一年內的瞬時死亡率為： * Pricing Method Death Rate 將一年分成m期，每期時間長度為 從65歲購買GMWB的那一刻往後經過2期 的時間，投保人的生存機率為： *