标题： 破产 contingent 生命年金（RCLA）的估值与套期保值 显示英文标题

标题： Valuation and hedging of the ruin-contingent life annuity (RCLA)

摘要： 本文分析了一种新型的与死亡相关的索赔工具，称为破产 contingent 生命年金（RCLA）。 该产品融合了一个路径依赖的股票看跌期权和一个“个人长寿”看涨期权。 年金领取人（即多头头寸）从通用 RCLA 中获得的收益为每年 1 美元的终生收入，类似于设定福利养老金，但推迟到预先指定的金融扩散过程达到零时。 我们推导了满足 RCLA 价值（即套期保值成本）的偏微分方程及相关边界条件，假设市场完备且无套利机会。 然后我们描述了一些高效的数值技术，并提供了在各种现实参数下典型 RCLA 的估算值。 研究 RCLA 单独存在的动机有两个方面。 首先，它隐含在美国约 1 万亿美元的可变年金（VA）保单中；这些保单最近引起了金融分析师和监管机构的关注。 其次，美国财政部和劳工部一直在鼓励设定供款（401k）计划向参与者提供单独的长寿保险，我们认为 RCLA 将是这项工作的理想且成本效益高的候选方案。 显示英文摘要

摘要： This paper analyzes a novel type of mortality contingent-claim called a ruin-contingent life annuity (RCLA). This product fuses together a path-dependent equity put option with a "personal longevity" call option. The annuitant's (i.e. long position) payoff from a generic RCLA is \$1 of income per year for life, akin to a defined benefit pension, but deferred until a pre-specified financial diffusion process hits zero. We derive the PDE and relevant boundary conditions satisfied by the RCLA value (i.e. the hedging cost) assuming a complete market where No Arbitrage is possible. We then describe some efficient numerical techniques and provide estimates of a typical RCLA under a variety of realistic parameters. The motivation for studying the RCLA on a stand-alone basis is two-fold. First, it is implicitly embedded in approximately \$1 trillion worth of U.S. variable annuity (VA) policies; which have recently attracted scrutiny from financial analysts and regulators. Second, the U.S. administration - both Treasury and Department of Labor - have been encouraging Defined Contribution (401k) plans to offer stand-alone longevity insurance to participants, and we believe the RCLA would be an ideal and cost effective candidate for that job.