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| 題 名 | Fair Valuation of Surrender Options in EIA Contracts with Stochastic Interest Rates=隨機利率下指數連結型年金中解約選擇權之公平價值 |
|---|---|
| 作 者 | 張智凱; 莊博智; | 書刊名 | 風險管理學報 |
| 卷 期 | 13:2 2011.12[民100.12] |
| 頁 次 | 頁133-156 |
| 分類號 | 563.7、563.7 |
| 關鍵詞 | 條件期望值方法; 指數連結型年金保單; 重設型選擇權; 解約選擇權; Vasicek模型; Conditional Expectation Method; Equity-indexed annuity; Ratchet option; Surrender option; Vasicek Model; |
| 語 文 | 英文(English) |
| 中文摘要 | 本主題探討Vasicek隨機利率模型下評價指數連結型年金保單(Equity Indexed Annuity, EIA)之解約選擇權。首先針對具重設型選擇權(Ratchet Option)之指數連結型年金保單之路徑相依問題提出遞迴公式,再利用條件期望值方法(Conditional Expectation method)建構出二維度之樹狀模型。本文發現,當未來預期利率上升時,解約選擇權亦隨之上升;利率的波動會導致分紅選擇權與解約選擇權價格上升;若連結指數為高風險之資產,將使解約選擇權價格下降,但對於保險公司整體負債將顯著增加。 |
| 英文摘要 | This paper explores the fair valuation of a ratchet-type equity-indexed annuity (EIA) endowment contract with surrender options under Vasicek stochastic interest rate models. This paper first proposes a recursive formula to implement the backward computation, which overcomes the path dependent problems encountered by the ratchet option in the EIA contracts. Next, this paper applies the Conditional Expectation method to the constructing the two-dimensional tree structure. By using the proposed algorithm, this study verifies that surrender options are more valuable with the increase of interest rates. High interest rate volatility enhances both the bonus and surrender option values entitled to the policyholder. A numerical experiment also shows that risky assets may decrease the surrender option value but increase the bonus option value, implying a net increase of liability for the insurer. |
本系統中英文摘要資訊取自各篇刊載內容。