保本型變額壽險的評價在隨機利率與跳躍風險的環境下; Equity-Linked Life Insurance under Stochastic Interest Rate and Jump Risks

NCUIR > School of Management at National Central University > Graduate Institute of Finance > Electronic Thesis & Dissertation > Item 987654321/11944

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/11944

Title:	保本型變額壽險的評價在隨機利率與跳躍風險的環境下;Equity-Linked Life Insurance under Stochastic Interest Rate and Jump Risks
Authors:	吳淑瑜;Shwu-Yu Wu
Contributors:	財務金融研究所
Keywords:	跳躍風險;變額壽險;Jump Risks;Equity-Linked Life Insurance
Date:	2002-06-20
Issue Date:	2009-09-22 14:35:45 (UTC+8)
Publisher:	國立中央大學圖書館
Abstract:	探討有關於附有最低保證給付金額的投資型保單的評價，並考慮了利率風險後，使用最小平方法去評價美式選擇權保單的價值。之後，因為金融危機與景氣循環在現實生活中是常常出現的，所以我們加入了跳躍風險來看保單的保費。最後，探討在各個假設條件變動下的敏感度分析，來看保費的變化。 This thesis considers the valuation of equity-linked life insurance policies with an asset value guarantee. After thinking the stochastic characteristic of interest rates, we use least-square approach to value the insurance premium with minimum guarantee. Finally, we use Grant, Vora, and Weeks(1996) to value the insurance premium under jump risks. Afterwards, we examine the sensitivity of insurance premium to parameters, such as volatility, instantaneous interest rate elasticity reference portfolio, instantaneous risk-free rate of interest, minimum guaranteed interest rate, correlation coefficient and finally the effect of the jump risks.
Appears in Collections:	[Graduate Institute of Finance] Electronic Thesis & Dissertation

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