Valuation of variable annuity contracts with cliquet options in Asia markets

Title	Valuation of variable annuity contracts with cliquet options in Asia markets
Creator	Hsieh, Ming-hua 謝明華
Contributor	風管系
Date	2008-12
Date Issued	19-Aug-2015 16:54:44 (UTC+8)
Summary	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.
Relation	Winter Simulation Conference, 2008, 602-606
Type	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)	conference	en