英文标题：
《Valuation Perspectives and Decompositions for Variable Annuities with
  GMWB riders》
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作者：
Cody B. Hyndman and Menachem Wenger
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最新提交年份：
2013
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英文摘要：
  The guaranteed minimum withdrawal benefit (GMWB) rider, as an add on to a variable annuity (VA), guarantees the return of premiums in the form of peri- odic withdrawals while allowing policyholders to participate fully in any market gains. GMWB riders represent an embedded option on the account value with a fee structure that is different from typical financial derivatives. We consider fair pricing of the GMWB rider from a financial economic perspective. Particular focus is placed on the distinct perspectives of the insurer and policyholder and the unifying relationship. We extend a decomposition of the VA contract into components that reflect term-certain payments and embedded derivatives to the case where the policyholder has the option to surrender, or lapse, the contract early.
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中文摘要：
担保最低支取福利（GMWB）附加条款作为可变年金（VA）的附加条款，保证以定期支取的形式返还保费，同时允许投保人充分参与任何市场收益。GMWB附加条款代表账户价值的嵌入式期权，其费用结构不同于典型的金融衍生品。我们从金融经济角度考虑GMWB附加条款的公平定价。特别关注保险人和投保人的不同观点以及统一关系。我们将VA合同分解为反映特定期限付款和嵌入式衍生工具的组成部分，适用于投保人有权提前放弃或终止合同的情况。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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