| dc.contributor | 風管系 | en_US |
| dc.creator (作者) | Chiu, Yu-fen; Chen, Son-Nan; Hsieh, Ming-hua | en_US |
| dc.creator (作者) | 謝明華;邱于芬;陳松男 | zh_TW |
| dc.date (日期) | 2010-09 | en_US |
| dc.date.accessioned | 18-三月-2014 17:34:24 (UTC+8) | - |
| dc.date.available | 18-三月-2014 17:34:24 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-三月-2014 17:34:24 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/64659 | - |
| dc.description.abstract (摘要) | Equity Indexed Annuities (EIAs) are popular insurance contracts. EIAs provide the insured with a guaranteed accumulation rate on their premium at maturity. In addition, the insured may receive extra benefit if the return of the linked index is high enough. There are a few variations of EIAs. We consider two types of EIAs: compound ratchet and simple ratchet. Under the geometric Brownian motion assumption for the equity index, plain compound ratchet options is known to have closed form solutions, but plain simple ratchet option is not. In this paper, we derive a closed form solution for plain simple ratchet option. For more exotic options, Monte Carlo methods are usually used for their valuation. To improve their efficiency, we propose Monte Carlo algorithm using two control variates based on the analytical solutions for the price of plain ratchet options. Through numerical examples of a typical contract, we found that the proposed algorithms are very efficient. | en_US |
| dc.format.extent | 235 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | International Research Journal of Finance and Economics, 48, 144-152 | en_US |
| dc.subject (關鍵詞) | Annuities; Insurance; Options | en_US |
| dc.title (題名) | Fast Algorithms for Pricing Ratchet Equity Indexed Annuities | en_US |
| dc.type (資料類型) | article | en |
