Fair pricing of superannuation guaranteed benefits with downturn risk

澳大利亚人拥有超过2.7万亿美元的养老金资产，这意味着澳大利亚是全球第四大养老基金资产持有者。因此，市场波动对退休人员财务状况的影响可能是有害的，特别是在与经济危机相关的市场低迷期间。金融行业通过用旨在保护退休人员收入流的附加条款补充可变年金来解决这一问题。该项目旨在通过全面分析具有低迷风险的金融市场随机模型中的复杂优化问题，为养老金保障福利产品开发一种新的公平定价和最优提取和退保政策。

Australians have more than $2.7 trillion in superannuation assets, meaning that Australia is the fourth largest holder of pension fund assets worldwide. Hence the impact of market fluctuations on financial well-being of retirees can be detrimental, especially during market downturns associated with economic crises. The finance industry addresses this issue by complementing variable annuities with riders designed to protect the income stream of retirees. This project aims to develop a novel approach to fair pricing and optimal withdrawals and surrender policies for superannuation guaranteed benefit products through a comprehensive analysis of complex optimisation problems in stochastic models of financial markets with downturn risk.