Events Calendar
Talk by Dr. Markus Orasch
July 9, 2019

DSAS - MSc Public Lecture - Yiming Huang

Date:
Thursday, June 20, 2019
Time:
1:00 pm - 2:00 pm
Location:
Western Science Centre (WSRC)
Room: 248
Cost:
$FREE

TITLE: A computationally efficient methodology in pricing a guaranteed minimum accumulation benefit

 

ABSTRACT: 

In this thesis, we consider a framework under which three correlated factors, namely, financial, mortality and lapse risks, are modelled in an integrated way. This modelling framework supports the valuation of a guaranteed minimum accumulation benefit (GMAB). The change-of-measure approach is employed to come up with a compact and implementable valuation expressions. We provide a numerical demonstration to confirm the e fficiency and accuracy of our proposed pricing methodology. In particular, our approach on average takes only 0.07% of the computing time entailed by the Monte-Carlo (MC) simulation technique. Furthermore, the standard errors of our approachs results are lower than those obtained from MC-based computations. When there are no renewal options in a GMAB contract, we get the special case of a guaranteed minimum maturity benefit for which a closed-form pricing solution is derived.

 

Supervisor: Dr. Rogemar S. Mamon

Contact:
Darrell McNeil
dmcnei@uwo.ca
Event Type:


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