报告题目：Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees

报告人：张志民

报告摘要：

This paper deals with the valuation of variable annuities with guaranteed minimum maturity benefits under a regime-switching Levy model. In particular, we factor in two practical features of these products: 1) allows the policyholder to surrender at a set of predetermined tenor times before maturity with an offered surrender benefit; 2) contains a periodic fee structure as a proportion of the policyholders account, given it exceeded a healthy level. While these features are nowadays standard practice in the financial industry, together with the complex stochastic dynamic underlying environment, they constitute computational challenges in the pricing and risk management exercises. Explicit valuation expressions are derived by the Fourier cosine series expansion method, and numerical illustrations are performed. Optimal surrender strategies for contracts with the constant and cliquet-style guarantees are obtained as a byproduct of the algorithm, which provides valuable information to quantitative analysts for algorithm trading and risk management of these contracts.

报告时间: 12月12日（周一）下午15:00-16:00

报告地点：腾讯会议 ID: 849-693-393

会议链接 ：https://meeting.tencent.com/dm/4tV1ihU4VMgF

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。