保单持有人退保行为对变额年金利益保证风险对冲的影响研究
Research on the Impact of Policyholder Surrender on Hedging of Guaranteed Benefits in Variable Annuities

给出保单持有人退保行为影响下的变额年金定价模型和对冲模型，当保单持有人分别采取无退保、固定退保和动态退保三种行为策略时，基于包含最低身故利益保证、最低满期利益保证和最低提取利益保证的三种不同的变额年金，运用蒙特卡罗模拟测试出保单持有人采取不同的退保策略对不同利益保证的变额年金风险对冲有着显著的不同影响。
The paper analyzes the impact of policyholder on hedging of variable annuities with guaranteed benefits. It gives the pricing and hedging model with different policyholder behavior. The paper considers policyholders taking the strategy of no surrender, deterministic surrender and dynamic surrender, at the same time, it uses Monte Carlo Method to simulate the impact of policyholder surrender to the hedging of GMDB, GMMB and GMWB in variable annuities. The numerical analyses indicate that different policyholder surrender has significant impact on hedging of the several guaranteed benefits in variable annuities.