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政大機構典藏 > 資訊學院 > 資訊科學系 > 會議論文 > Item 140.119/77733

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/77733

Title:	Valuation of variable annuity contracts with cliquet options in Asia markets
Authors:	Hsieh, Ming-hua 謝明華
Contributors:	風管系
Date:	2008-12
Issue Date:	2015-08-19 16:54:44 (UTC+8)
Abstract:	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
Data Type:	conference
Appears in Collections:	[資訊科學系] 會議論文

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