Other Statistics and Probability Commons^™

Valuation And Risk Measurement Of Guaranteed Annuity Options Under Stochastic Environment, Huan Gao

Electronic Thesis and Dissertation Repository

This thesis develops stochastic modelling frameworks for the accurate pricing and risk management of complex insurance products with option-embedded features. We propose stochastic models for the evolution of the two main risk factors, the interest rate and mortality rate, which could also have a correlation structure. For the valuation problem, a general framework is put forward where correlated interest and mortality rates are modelled as affine-diffusion processes. A new concept of endowment-risk-adjusted measure is introduced to facilitate the calculation of the GAO value. As a natural offshoot of addressing GAO valuation, we derive the convex-order upper and lower bounds of …