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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 2008-12
上傳時間 19-Aug-2015 16:54:44 (UTC+8)
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
dc.contributor 風管系
dc.creator (作者) Hsieh, Ming-hua
dc.creator (作者) 謝明華zh_TW
dc.date (日期) 2008-12
dc.date.accessioned 19-Aug-2015 16:54:44 (UTC+8)-
dc.date.available 19-Aug-2015 16:54:44 (UTC+8)-
dc.date.issued (上傳時間) 19-Aug-2015 16:54:44 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/77733-
dc.description.abstract (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.
dc.format.extent 279705 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) Winter Simulation Conference, 2008, 602-606
dc.title (題名) Valuation of variable annuity contracts with cliquet options in Asia markets
dc.type (資料類型) conferenceen