政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/129825

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113648/144635 (79%)
Visitors : 51575575 Online Users : 850

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/129825

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/129825

Title:	Analytic Formulae for Valuing Guaranteed Minimum Withdrawal Benefits in a Multi-Asset Framework
Authors:	楊曉文 Yang, Sharon S. 王昭文 Wang, Chou-Wen 劉議謙 Liu, I-Chien
Contributors:	金融系
Keywords:	保證最低提領給付;解析解公式;平均值概念;反咖瑪分配;對數常態分配 Guaranteed minimum withdrawal benefits;analytic formulae;averaging concept;reciprocal gamma distribution;lognormal distribution
Date:	2019-07
Issue Date:	2020-05-26 10:52:44 (UTC+8)
Abstract:	本文試圖找到於多資產架構下保證最低提領給付（GMWB）之解析解公式。假設每個資產過程皆依據幾何布朗運動，藉運用反咖瑪與對數常態分配之平均值概念近似有相關性的對數常態隨機變數之和，我們得到GMWB之解析解公式。其數值顯示平均值概念之解析解公式表現精確，用於長期保單時亦然。評價GMWB時，此解析解公式具有顯著優勢與效率。 This study attempts to find the analytic formulae for valuing guaranteed minimum withdrawal benefits (GMWB) in a multi-asset framework. With the assumption that each equity process follows a geometric Brownian motion, we obtain the analytic formulae for GMWB by approximating the sum of the correlated lognormal variables using the averaging concept of reciprocal gamma and lognormal distributions. Numerical experiments show that analytic formulae of the averaging concept are accuracy, even for long-duration policies. Thus, the analytic formulae provide the significant advantage and efficiency in valuing GMWB.
Relation:	Journal of Financial Studies,
Data Type:	期刊論文
DOI 連結:	https://doi.org/10.6545/JFS.202003_28(1).0001
DOI:	10.6545/JFS.202003_28(1).0001
Appears in Collections:	[金融學系] 期刊論文

Files in This Item:

File	Description	Size	Format
468.pdf		512Kb	Adobe PDF2	333	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...