教師資料查詢 | 類別: 會議論文 | 教師: 楊曉文 SHEAU-WEN YANG (瀏覽個人網頁)

標題:Pricing and Hedging for Guaranteed Annuity Options
學年90
學期2
發表日期2002/07/03
作品名稱Pricing and Hedging for Guaranteed Annuity Options
作品名稱(其他語言)
著者Yang, Sheauwen;Waters, Howard;Wilkie, David
作品所屬單位淡江大學保險學系
出版者
會議名稱第三屆風險管理理論研討會=The Third Risk Management Theory Seminar
會議地點臺北市, 臺灣
摘要This paper analyses the problem of guaranteed annuity options (GAOs)attached to pensions policies issued by life insurance companies. Wedeal with the pricing and hedging for guaranteed annuity options ,which offer the policyholder the right to convert the sum assured atnormal retirement age into a life annuity at the better of the marketrate prevailing at the time of conversion and a guaranteed rate. Wederive a market value for GAO using Black model. In addition, we showhow to construct a dynamic replicating portfolio based on annualrebalancing and monthly rebalancing. The reserving principle underhedging is then discussed.
關鍵字避險策略;保證年金選擇權;選擇權定價;遞延終身年金;交易成本;指數連動契約;Hedging Strategy;Guaranteed Annuity Option;Option Pricing;Forward Life Annuity;Transaction Cost;Unit-Linked Contract
語言英文
收錄於
會議性質國內
校內研討會地點
研討會時間20020703~20020703
通訊作者
國別中華民國
公開徵稿Y
出版型式紙本
出處第三屆風險管理理論研討會論文集=Proceedings of the Third Risk Management Theory Seminar31頁
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