淡江大學機構典藏:Item 987654321/95230
English  |  正體中文  |  简体中文  |  全文笔数/总笔数 : 62805/95882 (66%)
造访人次 : 3946664      在线人数 : 577
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻


    jsp.display-item.identifier=請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/95230


    题名: Pricing and Hedging for Guaranteed Annuity Options
    作者: Yang, Sheauwen;Waters, Howard;Wilkie, David
    贡献者: 淡江大學保險學系
    关键词: 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
    日期: 2002-07
    上传时间: 2014-02-11 22:16:11 (UTC+8)
    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.
    關聯: 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
    显示于类别:[風險管理與保險學系] 會議論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    Pricing and Hedging for Guaranteed Annuity Options_英文摘要.docx摘要17KbMicrosoft Word101检视/开启
    Pricing and Hedging for Guaranteed Annuity Options_英文摘要.docx摘要17KbMicrosoft Word114检视/开启

    在機構典藏中所有的数据项都受到原著作权保护.

    TAIR相关文章

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