Abstract：In this study, we propose an approach to fairly price the guarantee rider embedded in variable annuities based on the recent fair dynamic valuation approach. Fair dynamic valuation of insurance liabilities, adopted by some recent industry regulations such as Solvency II, combines the information about prices of traded assets in the financial market and actuarial valuation. In particular, we investigate the popular Guaranteed Minimum Lifetime Withdrawal Benefit (GLWB) variable annuities, which provides policyholders lifetime income benefits to insure against longevity and market risks. As it is vital for the insurers to assess the longevity risk when pricing, we show that fair dynamic valuation with hedging the tradeable longevity-linked securities, e.g. the longevity forward, significantly lowers fair valuation of GLWB guarantee and thus saves fair management fee.

报告人简介：陈泽，中国人民大学财政金融学院保险系助理教授，中国保险研究所研究院，中国人民大学杰出青年学者B岗。博士毕业于比利时鲁汶大学（KU Leuven）和清华大学。研究方向为保险与风险管理、重大风险与社会保障，他在国内外保险精算和金融学术期刊发表论文10余篇，如Insurance： Mathematics and Economics, Scandinavian Actuarial Journal，European Financial Management，Methodology and Computing in Applied Probability等；并主持多项横纵向科研课题，如自然科学基金青年基金，教育部哲学社科基金一般项目以及北美精算师协会委托课题等。