Two Kinds Of Variable Annuities Pricing And Risk Management Strategy Research

To prevent the decline in the purchasing power of fixed annuity causedby the inflation§variable annuity is proposed The value of your invest-ment as a variable annuity will vary depending on the performance of theinvestment options you choose At the same time§variable annuity is akind of special annuity product which can ensure the minimum guaranteebenefits according to the insurance contracts For the insured people whohave bought this insurance products not only can obtain a minimum in-surance benefit but also can get the bentfits from the growth of the stockmarket at the same tim The diference between the variable annuity andthe traditional investment insurance is the insured person no longer bear-ing the total investment risk, because the insurance company promises aminimum interest payment guarantee to the insured so that a part of riskis transferred to the insurance companyIn this thesis, the basic concept of variable annuity is introduced, and allkinds of minimum interests guarantees are abstracted into formula expres-sions, Using the Black-Scholes model and Merton Jump-Difusion model,respectively, the underlying assets of variable annuity is described, and cor-responding to the actual situation of the Chinese market, the parameters ofthose models are estimated. In the aspect of risk management, taking theGMMB for an example, the risk management is operated using OBPI andCPPI strategies. The cost functions for the two strategies are given in thecase of considering the transaction costs, and the adapting phenomena forthe two strategies are obtained by using the empirical analysis to comparetwo strategies in diferent market conditions...