Valuing Equity-Indexed Product

• Main Authors: Tsai,Hui-Ling, 蔡惠玲
• Other Authors: Lee, Shyan-Yuan
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/23486609247380702522

碩士 === 國立臺灣大學 === 財務金融學研究所 === 90 === Abstract： Equity-indexed products (EIPs) are considered as the most innovative financial instruments in recent years. Targeting toward low-risk tolerant customers, EIPs have unique product features. First, the policyholder’s rate of return is based on a fixed share in the appreciation of an outside index. Secondly, there is a minimum contract value guaranteed. Therefore, the holder of EIPs have the potential to participate in upside growth of equity market while avoiding downside market risk. Different from the traditional life products, EIPs present more complex modeling problems as embedded options in the product. Therefore, this thesis focuses on the pricing model and cash flow testing to evaluate hedging strategy. The empirical results indicate the Monte Carlo simulation and cash flow testing built in this thesis can be used as the fundamental model for pricing EIPs. With this model, the insurance company can design various EIPs to meet different risk preference customer needs in the future.