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題名: Valuation of Ratchet Equity-Indexed Annuities
其他題名: 獲利保障型指數連動年金之評價
作者: 邱于芬;謝明華;蔡政憲;陳威光
貢獻者: 風管系
關鍵詞: equity-indexed annuities;option pricing
日期: 2012-12
上傳時間: 2014-03-11 17:37:33 (UTC+8)
摘要: Ratchet equity-indexed annuities (EIAs) are the most popular EIAs. Most ratchet EIAs credit returns to policyholders annually based on the higher of the calculated index return during the year and the minimum guaranteed rate. This annual reset feature allows the credited return to be locked in and thus the value of the policy will never decrease. In this paper we derive the pricing formulas under the standard Black-Scholes framework for more ratchet EIA products than the literature. Via these pricing formulas and numerical demonstration, we are able to analyze the impacts of various contract features on the policy value. These results can be helpful guides to ratchet EIA design and valuation.
關聯: 財務金融學刊, 20(4), 89-107
資料類型: article
顯示於類別:[風險管理與保險學系] 期刊論文

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