Pricing Guaranteed Minimum Death Benefits with Dollar Cost Averaging Under Time-changed Le′vy Models

作     者：Jia-ming WANG Mei-qiao AI Zhi-min ZHANG 

作者机构：College of Mathematics and Statistics Chongqing University 

出 版 物：《Acta Mathematicae Applicatae Sinica》 (应用数学学报(英文版))

年 卷 期：2024年

核心收录：

学科分类：12[管理学] 02[经济学] 0202[经济学-应用经济学] 1204[管理学-公共管理] 020208[经济学-统计学] 020204[经济学-金融学（含∶保险学）] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 120404[管理学-社会保障] 070103[理学-概率论与数理统计] 0701[理学-数学] 

基　　金：supported by the National Natural Science Foundation of China (No.12271066,11871121,12171405) the Shandong Provincial Natural Science Foundation (No.ZR2022MG057) 

摘      要：In this paper, we propose an efficient and accurate method for pricing Guaranteed Minimum Death Benefit (GMDB) under time-changed Le′vy processes. Suppose that the GMDB payoff depends on a dollar cost averaging (DCA) style periodic investment, and the activity rate process in stochastic time change is modeled by a square-root process. We develop a recursive method to derive the closed form valuation formula by using the frame duality projection method. Numerical examples are reported for demonstrating the effectiveness of our approach and illustrating the interplay between contract parameters and the valuation.