报告题目：Efficient Pricing and Greeks Estimation for Variable Annuities under a Multivariate OUSV Model

报 告 人：张志民教授（重庆大学）

报告时间：2025年10月26日（星期日）9:40-10:20

报告地点：数学大楼报告厅三（814）

参加人员：教师、研究生、本科生

报告摘要：As the understanding of GMxB-related risks deepens, insurance companies are increasingly seeking efficient annuity risk management systems. This paper is the first to extend the Karhunen-Loève (KL) expansion method to the pricing and Greeks estimation of the GMxB variable annuities written on multiple sub-account funds, under the multivariate Ornstein-Uhlenbeck stochastic volatility model. Additionally, the simulation-based path-wise (PW) and likelihood ratio (LR) methods are generalized for efficient Greeks computation within the multi-asset annuity framework. Through asymptotic analysis, we address a theoretical gap in the original KL expansion sampling framework. Numerical experiments demonstrate that the proposed method achieves computational efficiency and robustness, providing a practical and reliable framework for the risk management of complex multi-asset variable annuities.

报告人简介：张志民，重庆大学教授、博士生导师，重庆市学术技术带头人，香港大学和墨尔本大学访问学者。目前担任中国工业与应用数学学会理事，中国双法研究会量化金融与保险分会常务理事、重庆市统计学会理事等。主要研究兴趣为金融统计、金融数学、风险管理与精算学、统计学习、机器学习等。已经发表高水平论文80余篇，主持10余项国家级、省部级和横向课题。