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
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