淡江大學機構典藏:Item 987654321/95230
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    題名: Pricing and Hedging for Guaranteed Annuity Options
    作者: Yang, Sheauwen;Waters, Howard;Wilkie, David
    貢獻者: 淡江大學保險學系
    關鍵詞: 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
    上傳時間: 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
    顯示於類別:[風險管理與保險學系] 會議論文

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