| Summary: | 碩士 === 東吳大學 === 財務工程與精算數學系 === 101 === Abstract
The main purpose of this paper is to study investment-oriented annuity insurance products that provide guaranteed minimum benefits. Monte-Carlo simulation approach is used to investigate the difference between the theoretical and the actual price of the products. Moreover, sensitivity analysis is used to further evaluate how parameter changes would affect the price. The results show that the theoretical price obtained through simulation is fairly close to the actual price. The sensitivity analysis also shows that the volatility of the returns from stock market index and the exchange rate does not have a significant role in affecting the value of the products. The value of the products is negatively correlated to the risk-free foreign interest rate that is used to discount the value of these products. Furthermore, since these products consist of options and zero-coupon bonds, both contribute to different parts of the returns with separate effects, the changes in the guaranteed yield-to-maturity thus have no significant effect on the overall value of the products.
Keyword: investment-oriented products, guaranteed minimum benefits, Monte-Carlo simulation, sensitivity analysis
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