隨機利率下附保證提領保險商品評價

Abstract

附保證商品是最近最熱門的保險商品之一，投資結合保障的觀念，近來多使用於個人理財與生涯規劃。本文目的為分析保證最低提領給付附約(guaranteed minimum withdrawal benefit; GMWB)商品，並考慮在固定利率下與隨機利率下的定價。延續Milevsky and Salisbury (2006)的討論，假設GMWB商品架構，在考慮隨機利率下，利用LIBOR Market Model (BGM model)，在市場資訊下求出保險公司收取之費用率，並與固定利率比較。

In the research, we deal with the guaranteed minimum withdrawal benefits (GMWB). First, under the Milevsky and Salisbury (2006) assumptions, we discuss the price of the GMWB with fixed rate when the equity process follows lognormal distribution or jump-diffusion process. Then we discuss pricing with stochastic interest rate. Here we assume the interest rate process follows the LIBOR Market Model, also called the BGM model. Numerical experiments show the differences between fixed rate and stochastic rate with Monte Carlo simulation.