法国格勒诺布尔管理学院Prof. Carole Bernard来校讲座
发布时间：2015-06-12
| 主 题： | Risk Management of Policyholder Behavior in Equity Linked Life Insurance |
| 主讲人： | Prof. Carole Bernard |
| 时 间： | 2015年07月02日10:00-12:00 |
| 地 点： | 管院M311 |
讲座简介：
The financial guarantees embedded in variable annuity (VA) contractsexpose insurers to a wide range of risks, lapse risk being one ofthem. When policyholders' lapse behavior differs from the assumptionsused to hedge VA contracts, the effectiveness of dynamic hedgingstrategies can be significantly impaired. By studying how the feestructure and surrender charges affect surrender incentives, we obtainnew theoretical results on the optimal surrender region and use themto design a marketable contract that is never optimal to lapse.This is joint work with Anne MacKay (ETH Zurich), Maciej Augustyniak(University of Montreal) and Mary Hardy (University of Waterloo)
主讲人简介：
