The Guarantee on an IPA with a Death Benefit and a Reset Feature
學年 100
學期 2
發表日期 2012-07-06
作品名稱 The Guarantee on an IPA with a Death Benefit and a Reset Feature
作品名稱（其他語言）
著者 Chen, Chao-Liang
作品所屬單位 淡江大學經濟學系
出版者
會議名稱 Asian Finance Association and Taiwan Finance Association 2012 Joint International Conference
會議地點 Taipei, Taiwan
摘要 This article develops a contingent claims valuation analysis to numerically price a salary-connected guarantee on an individual pension account (IPA). The results indicate that a principal guarantee without a reset feature is worth little, while the death benefit contributes little to the guarantee value. Deferred proportional funding is an alternative to reduce problems from the difficulty in modeling salary behavior, because the deferred proportional fee is found to be affected less by the salary behavior than the up-front guarantee value. Moreover, if the lapse is possible, then the time value of a longer contract is diluted by a greater expected lapse loss and therefore the guarantee is not necessarily more valuable for a younger individual. Given the individual age, the high type of death rate with no lapse carries the most expensive guarantee for all scenarios.
關鍵字 reset feature;death benefit;salary behavior;up-front guarantee value;expensive guarantee;time value;deferred proportional funding;individual pension account;lapse loss;guarantee value;salary-connected guarantee;individual age;death rate deferred proportional fee;principal guarantee;high type;valuation analysis
語言 zh_TW
收錄於
會議性質 國際
校內研討會地點 無
研討會時間 20120706~20120709
通訊作者
國別 TWN
公開徵稿 Y
出版型式
出處 Asian Finance Association and Taiwan Finance Association 2012 Joint International Conference
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/78159 )

機構典藏連結