相关实验视频
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Continuous Hydrologic and Water Quality Monitoring of Vernal Ponds
Published on: November 13, 2017
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保证的最低退款福利与高水准收费结构
Yichen Han1, Lianxia Wu2, Dongchen Li1
1School of Statistics, East China Normal University, Shanghai, China.
PloS one
|May 21, 2024
概括
本研究引入了一种新的费用结构,用于使用高水准方法和调节模式的保障性最低退款福利 (GMWBs). 它还涉及保险公司的风险管理,评估风险价值和有条件尾部预期的资本储备.
科学领域:
- * 精算科学 精算科学
- * 金融数学 金融数学
- * 风险管理 风险管理
背景情况:
- *可变年金通常包括保证的最低提款福利 (GMWBs),以保护初始投资.
- *现有的GMWB研究主要使用静态费用结构.
- * 在定价框架内,对GMWB风险管理的关注有限.
研究的目的:
- * 根据高潮标志 (HWM) 原则,为GMWB制定创新的收费结构.
- *使用调节切换跳转扩散模型和蒙特卡洛方法来定价GMWB.
- *分析GMWB的风险管理,重点关注资本储备估计.
主要方法:
- * 实施了高潮标志 (HWM) 费用结构.
- * 采用调节切换跳转扩散模型进行定价.
- *使用蒙特卡洛模拟来解决随机微分方程 (SDE).
- *用于风险评估的计算风险值 (VaR) 和有条件尾部预期 (CTE).
主要成果:
- * 开发了一种具有动态费用结构的新型GMWB定价模型.
- * 提供了一个评估保险公司资本储备对GMWB负债的评估框架.
- * 证明了VaR和CTE在量化尾部风险方面的实用性.
结论:
- * 拟议的HWM费用结构和调节模式为GMWB定价提供了更现实的方法.
- * 该研究为保险公司提供了有效管理GMWB风险的基本工具.
- *通过VaR和CTE进行增强的风险评估,支持稳健的资本配置.
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