Pricing guaranteed minimum withdrawal benefits with Lévy processes.

Pricing guaranteed minimum withdrawal benefits with Lévy processes.

本研究主要探討附保證最低提 (Guaranteed Minimum Withdrawal Benefits, GMWB)的變額(Variable Annuity, VA) 在隨機模型下之定價。保證最低提是變額的一種附加約 (rider) 並在市場下跌的情況下為變額持有人提供保障。它保證持有人在合約期內的總提少於一個預先訂的額，而變額的投資表現。一般，這個保證額相等於變額的初始投資額。本研究的融模型假設投資標的基價格符合對維過程 (exponential Lévy process)，而隨機則符合由維過程驅動的瓦西克模型 (Vasiček model)。融模型中的個維過程的相依結構 (depend...

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Bibliographic Details
Other Authors: Chan, Wang Ngai.
Format: Others
Language:English
Chinese
Published: 2012
Subjects:
Variable annuities > Prices
Pricing > Mathematical models
Lévy processes
Online Access:http://library.cuhk.edu.hk/record=b5549175
http://repository.lib.cuhk.edu.hk/en/item/cuhk-328794

Internet

http://library.cuhk.edu.hk/record=b5549175
http://repository.lib.cuhk.edu.hk/en/item/cuhk-328794

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