报告题目：Fair pricing of equity-linked death benefits in an extended mean-

reversion model

报告人：王文胜，教授（杭州师范大学）

时 间：11月26日（周四）下午 15：30—16：30

地 点：18-918（理学院会议室）

报告摘要：In this talk, we consider the problem of computing the expected discounted value of Guaran-teed Minimum Death Benefits in various equity-linked products, in an extended mean-reversion market. The stock log-price process is assumed to be an extended mean-reversion process. By exploiting the discounted density approach proposed in Gerber et al. (2012, 2013), closed-form formulas for the life-contingent call and put options have been obtained. The value of each Guaranteed Minimum Death Benefit can then be recovered by several numerical illustrations. For the case where the contracts have a finite expiry date, closed-form formulas are found for he contingent call and put options. From these, results for De Moivre's law are obtained as limits.

欢迎广大师生参加!

半岛平台数学科学系