Risk measurement of a guaranteed annuity option under a stochastic modelling framework

详细信息    查看全文

• 作者：Huan Gao ; Rogemar Mamon ; ^{rmamon@stats.uwo.ca" class="auth_mail" title="E-mail the corresponding author} ; Xiaoming Liu
• 关键词：Affine models ; Moment-based method ; Risk measures ; Correlated risk factors ; Insurance with option-embedded features
• 刊名：Mathematics and Computers in Simulation
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：132
• 期：Complete
• 页码：100-119
• 全文大小：1988 K

文摘

We address the problem of setting capital reserves for a guaranteed annuity option (GAO). The modelling framework for the loss function of GAO is developed. A one-decrement actuarial model is considered in which death is the only decrement, and the interest and mortality risk factors follow correlated affine structures. Risk measures are determined using moment-based density method and benchmarked with the Monte-Carlo simulation. Bootstrap technique is utilised to assess the variability of risk measure estimates. We establish the relation between a desired level of risk measure accuracy and required sample size under the constraints of computing time and memory. A sensitivity analysis of parameters is further conducted, and our numerical investigations provide practical considerations for insurers in meeting certain regulatory requirements.