题目：Pricing and Optimal Surrender Strategies of Variable Annuities with Correlated Interest Rates and Jump-Diffusion Equity

主讲人：韦晓

时间：2026年4月24日 11:00-12:30

地点：北京师范大学珠海校区励耘楼B310

摘要：This study examines valuation and optimal surrender strategies for variable annuities with guaranteed minimum benefits under a Lévy-driven equity market and Hull-White stochastic interest rates, explicitly incorporating their correlation as an essential market feature. We propose an enhanced two-dimensional Fourier cosine method that incorporates mortality and surrender effects into a recursive valuation framework, and we analytically derive the discounted joint characteristic function for the correlated Lévy-Hull-White dynamics. Numerical experiments confirm its fast convergence and stable performance across different Lévy specifications. The results show that while correlation minimally impacts non-surrenderable contract values, it significantly influences surrender premiums through complex interactions between interest rate levels and contractual features. The key findings indicate that the impact of correlation on surrender premiums differs across interest rate environments and that guarantee design features, such as floors and caps, shape how correlation affects surrender incentives. These results underscore the necessity of scenario-specific modeling when evaluating surrender options in hybrid equity-rate markets, particularly for contracts embedding path-dependent guarantees. Our methodology advances the numerical valuation of complex annuity products by integrating cross-market dependencies with policyholder behavior dynamics.

本研究探讨了在Lévy驱动的股票市场与Hull-White随机利率框架下，具有最低保证收益的变额年金之估值及最优退保策略，明确将两者之间的相关性作为一项关键市场特征纳入分析。我们提出了一种增强型的二维傅里叶余弦方法，将死亡率与退保效应纳入递归估值框架，并解析推导了相关Lévy-Hull-White动态过程下的折现联合特征函数。数值实验验证了该方法在不同Lévy设定下均具有快速收敛性与稳定表现。结果表明，相关性对不可退保的合约价值影响甚微，但通过与利率水平及合约特征之间的复杂交互，显著影响退保溢价。关键发现显示，相关性对退保溢价的作用在不同利率环境下存在差异，同时，保证条款中的上下限等设计特征亦会调节相关性对退保动机的影响。这些结果强调，在评估涉及股票与利率市场的混合型产品中的退保选择权时，尤其是在包含路径依赖型保证的合约中，有必要采用情境特定的建模策略。本研究通过将跨市场相依性与投保人行为动态相结合，推进了复杂年金产品的数值估值方法。

个人简介：韦晓，中央财经大学保险学院、中国精算研究院副教授。武汉大学理学博士，法国国家信息与自动化研究院（INRIA）金融数学项目组（Mathfi Team）博士后，该项目组的金融软件Premia（https://www.rocq.inria.fr/mathfi/Premia/index.html）研发设计的permanent contributor。她曾先后访问香港科技大学，加拿大滑铁卢大学，意大利乌迪内大学，进行合作研究；曾在国际四大精算期刊《Insurance: Mathematics and Economics》《ASTIN Bulletin》《Scandinavian Actuarial Journal》《North American Actuarial Journal》及数学、概率统计期刊《中国科学：数学》《Statistics & Probability Letters》《Journal of Theoretical Probabilities》《Journal of Applied Probabilities》等发表多篇学术论文；主持多项国家自然科学基金项目、教育部人文社科项目、国家外专局课题。中国精算师资格认证考试出题和审题人，中国现场统计学会中国风险管理与精算分会理事，多获中央财经大学优秀硕士学位论文指导教师奖、中央财经大学涌金教师学术奖、。