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    政大機構典藏 > 商學院 > 統計學系 > 學位論文 >  Item 140.119/33914
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/33914


    Title: 隨機利率下分紅保單解約選擇權之評價分析
    Fair Valuation of Participating Insurance Policies with Surrender Options
    Authors: 張智凱
    Contributors: 廖四郎
    余清祥



    張智凱
    Keywords: 分紅選擇權
    解約選擇權
    CRR 模型
    公平價格
    Participating option
    Surrender option
    CRR model
    Fair value
    Date: 2005
    Issue Date: 2009-09-17 18:47:53 (UTC+8)
    Abstract: 本文探討評價可解約分紅保單(Participating Policy)。該保單隱含二個重要的選擇權:分紅選擇權與解約選擇權。分紅選擇權為一歐式買權,解約選擇權可視為美式賣權。Bacinello(2003)使用CRR模型,計算解約選擇權的近似解,然而,Bacinello(2003)假設無風險利率為常數。本文主要探討如何利用無套利評價法,在隨機利率模型下,發展二維度之CRR模型,利用此模型,求得分紅選擇權與解約選擇權之公平價格,並討論利率的波動與長期走勢對該保單的選擇權的價格之影響。本文發現,保單之投資參考組合的波動,將對分紅選擇權的價格造成影響,而利率的波動會導致解約選擇權價格上升;當未來預期利率上升時,分紅選擇權與解約選擇權亦隨之上升。此評價模式可作為保險公司發行分紅保單與避險策略之參考。
    Bacinello (2003a) employed Cox-Ross-Rubinstein model (CRR model, 1979) to numerically calculate the fair value of a participating policy containing a surrender option. Bacinello assumed a constant rate of return on risk-free assets. However, this study proposes a two-dimensional CRR model in a stochastic interest rate model as a means of providing a numerical method for contract pricing. The two-dimensional CRR model converges rapidly and achieves similar results to Monte Carlo simulation. Two-dimensional CRR models are used to analyze the importance and sensitivity of a stochastic interest rate model for the policy. Zero coupon bond volatility is an essential parameter in the surrender option, and reference portfolio volatility is important for pricing the participating option. The participating and surrender options are more valuable given upwards trending interest rates than constant or downwards trending rates.
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    Description: 博士
    國立政治大學
    統計研究所
    90354502
    94
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0903545021
    Data Type: thesis
    Appears in Collections:[統計學系] 學位論文

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