Speaker：Zhimin Zhang（Chongqing University）

Time：2021-10-22 14:30

Location：Tencent Meeting ID：683 464 880（No Password）

Abstract:

In this paper, we study the valuation of variable annuity contracts with guaranteed minimum maturity benefits (GMMB) under regime-switching Levy models. Particularly, under the assumption that GMMB products are observed periodically, we consider the GMMBs in which the embedded path-dependent guarantees can be surrendered on a discrete set of monitoring times before maturity date. The dynamic programming approach is used to solve the corresponding optimal stopping problem, and some analytical formulae for the conditional expectations are derived using the Fourier cosine expansion method. Numerical illustrations are also provided to show accuracy and efficiency of the proposed method.