| 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 | en |
| 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 | TWN |
| 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 Seminar，31頁 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/95230 ) |
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