考虑死亡风险下权益指数年金的定价  

Valuing Equity-indexed Annuities With Mortality Risk

作　　者：钱林义[1] 汪荣明[1] 廖靖宇[2] 

机构地区：[1]华东师范大学统计系,上海200062 [2]许昌学院数学系,许昌461000

出　　处：《应用数学学报》2007年第3期497-505,共9页Acta Mathematicae Applicatae Sinica

基　　金：国家社会科学基金(06BTJ004);国家自然科学基金(10671072);教育部高等学校博士学科点专项科研基金(20060269016);上海市曙光计划项目(04SG27)资助课题.

摘　　要：权益指数年金(Equity Indexed Annuities)是欧美市场近十年发展起来的一类新型年金产品,有最小收益保证,在最小保证基础上与预先设定好的某类股指收益相关联．本文在考虑死亡风险情况下,对简单点对点和年度重设两种指数计算方法下权益指数年金的定价问题作了研究,给出了定价公式并对参与率作了敏感性分析．Equity-indexed annuity is a new kind of annuity whose development got started in the US and European market in the last ten years. A typical Equity-indexed annuity guarantees a minimum return on a portion of the initial amount invested. In addition to this minimum guarantee,the annuitant receives some participation in the appreciation of a pre-determined stock index. The paper discusses how to value an equity-indexed annuity with mortality risk by point to point method and annual reset method. It also gives the formulas and makes analysis of sensitivity.

关 键 词：权益指数年金 ESSCHER变换 参与率 简单点对点法 年度重设法 等价鞅测度 

分 类 号：F224.9[经济管理—国民经济]