英文标题：
《A note on the impact of management fees on the pricing of variable
  annuity guarantees》
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作者：
Jin Sun, Pavel V. Shevchenko, Man Chung Fung
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最新提交年份：
2017
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英文摘要：
  Variable annuities, as a class of retirement income products, allow equity market exposure for a policyholder\'s retirement fund with electable additional guarantees to limit the downside risk of the market. Management fees and guarantee insurance fees are charged respectively for the market exposure and for the protection from the downside risk. We investigate the impact of management fees on the pricing of variable annuity guarantees under optimal withdrawal strategies. Two optimal strategies, from policyholder\'s and from insurer\'s perspectives, are respectively formulated and the corresponding pricing problems are solved using dynamic programming. Our results show that when management fees are present, the two strategies can deviate significantly from each other, leading to a substantial difference of the guarantee insurance fees. This provides a possible explanation of lower guarantee insurance fees observed in the market. Numerical experiments are conducted to illustrate our results.
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中文摘要：
可变年金作为一类退休收入产品，允许投保人的退休基金在股票市场上暴露风险，并提供可选择的额外担保，以限制市场的下行风险。管理费和担保保险费分别针对市场敞口和下行风险收取。我们研究了最优退出策略下管理费对可变年金担保定价的影响。分别从投保人和保险人的角度提出了两种最优策略，并用动态规划方法求解了相应的定价问题。我们的结果表明，当管理费用存在时，这两种策略可能会显著偏离对方，导致担保保险费用的显著差异。这可能解释了市场上担保保险费较低的原因。数值实验验证了我们的结果。
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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：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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