政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/64573

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113648/144635 (79%)
Visitors : 51581028 Online Users : 934

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 > 風險管理與保險學系 > 期刊論文 > Item 140.119/64573

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/64573

Title:	Valuation of Ratchet Equity-Indexed Annuities
Other Titles:	獲利保障型指數連動年金之評價
Authors:	邱于芬;謝明華;蔡政憲;陳威光
Contributors:	風管系
Keywords:	equity-indexed annuities;option pricing
Date:	2012-12
Issue Date:	2014-03-11 17:37:33 (UTC+8)
Abstract:	Ratchet equity-indexed annuities (EIAs) are the most popular EIAs. Most ratchet EIAs credit returns to policyholders annually based on the higher of the calculated index return during the year and the minimum guaranteed rate. This annual reset feature allows the credited return to be locked in and thus the value of the policy will never decrease. In this paper we derive the pricing formulas under the standard Black-Scholes framework for more ratchet EIA products than the literature. Via these pricing formulas and numerical demonstration, we are able to analyze the impacts of various contract features on the policy value. These results can be helpful guides to ratchet EIA design and valuation.
Relation:	財務金融學刊, 20(4), 89-107
Data Type:	article
Appears in Collections:	[風險管理與保險學系] 期刊論文

Files in This Item:

File	Description	Size	Format
89107.pdf		343Kb	Adobe PDF2	1354	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...