用蒙特卡罗模拟计算变额年金负债“希腊人”
Calculating Variable Annuity Liability 'Greeks' Using Monte Carlo Simulation
摘要：
减轻变额年金产品所承受市场风险的对冲方法需要计算市场风险敏感度（或“希腊风险”）。这些产品的复杂性和路径依赖性意味着这些灵敏度通常必须通过蒙特卡罗模拟来估计。标准的市场惯例是使用“冲击和重估”方法来衡量这种敏感性。除了需要多个赋值之外，这种方法对于高阶希腊人来说可能是不可靠的，例如，γ的在这篇文章中，我们研究替代估计实现在一个先进的经济情景生成器模型，将随机利率和随机股票波动。估计量也可以很容易地推广到这个模型中加入股本跳跃。
英文摘要：
Hedging methods to mitigate the exposure of variable annuity products to market risks require the calculation of market risk sensitivities (or "Greeks"). The complex, path-dependent nature of these products means these sensitivities typically must be estimated by Monte Carlo simulation. Standard market practice is to measure such sensitivities using a "bump and revalue" method. As well as requiring multiple valuations, such approaches can be unreliable for higher order Greeks, e.g., gamma. In this article we investigate alternative estimators implemented within an advanced economic scenario generator model, incorporating stochastic interest-rates and stochastic equity volatility. The estimators can also be easily generalized to work with the addition of equity jumps in this model.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
