English  |  正體中文  |  简体中文  |  Items with full text/Total items : 49983/85139 (59%)
Visitors : 7797228      Online Users : 66
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/95230


    Title: Pricing and Hedging for Guaranteed Annuity Options
    Authors: Yang, Sheauwen;Waters, Howard;Wilkie, David
    Contributors: 淡江大學保險學系
    Keywords: 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
    Date: 2002-07
    Issue Date: 2014-02-11 22:16:11 (UTC+8)
    Abstract: 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.
    Relation: 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
    Appears in Collections:[保險學系暨研究所] 會議論文

    Files in This Item:

    File Description SizeFormat
    Pricing and Hedging for Guaranteed Annuity Options_英文摘要.docx摘要17KbMicrosoft Word72View/Open
    Pricing and Hedging for Guaranteed Annuity Options_英文摘要.docx摘要17KbMicrosoft Word75View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.


    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback