Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/77733
題名: | Valuation of variable annuity contracts with cliquet options in Asia markets | 作者: | Hsieh, Ming-hua 謝明華 |
貢獻者: | 風管系 | 日期: | Dec-2008 | 上傳時間: | 19-Aug-2015 | 摘要: | Variable annuities are very appealing to the investor. For example, in United States, sales volume on variable annuities grew to a record 184 billion in calendar year 2006. However, due to their complicated payoff structure, their valuation and risk management are challenges to the insurers. In this paper, we study a variable annuity contract with cliquet options in Asia markets. The contact has quanto feature. We propose an efficient Monte Carlo method to value the contract. Numerical examples suggest our approach is quite efficient. | 關聯: | Winter Simulation Conference, 2008, 602-606 | 資料類型: | conference |
Appears in Collections: | 會議論文 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
602-606.pdf | 273.15 kB | Adobe PDF2 | View/Open |
Google ScholarTM
Check
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.