Dissertation/Thesis
Pricing guaranteed minimum withdrawal benefits with Lévy processes.
| Τίτλος: | Pricing guaranteed minimum withdrawal benefits with Lévy processes. |
|---|---|
| Συνεισφορές: | Chan, Wang Ngai., Chinese University of Hong Kong Graduate School. Division of Systems Engineering and Engineering Management. |
| Έτος έκδοσης: | 2012 |
| Συλλογή: | The Chinese University of Hong Kong: CUHK Digital Repository / 香港中文大學數碼典藏 |
| Θεματικοί όροι: | Variable annuities--Prices, Pricing--Mathematical models, Lévy processes |
| Περιγραφή: | 本研究主要探討附保證最低提 (Guaranteed Minimum Withdrawal Benefits, GMWB)的變額(Variable Annuity, VA) 在隨機模型下之定價。保證最低提是變額的一種附加約 (rider) 並在市場下跌的情況下為變額持有人提供保障。它保證持有人在合約期內的總提少於一個預先訂的額，而變額的投資表現。一般，這個保證額相等於變額的初始投資額。本研究的融模型假設投資標的基價格符合對維過程 (exponential Lévy process)，而隨機則符合由維過程驅動的瓦西克模型 (Vasiček model)。融模型中的個維過程的相依結構 (dependence structure) 會由維關結構 (Lévy Copula) 描述。這個方法的好處是可描述同型的相依結構。用一個配合維關結構而有效的蒙地卡模擬方法，我們研究在同相依結構及模型下保證最低提的價值變化。在固定的特別情況下，保證最低提的價值能夠透過卷積方法 (convolution method) 而得到半解析解 (semi-analytical solution) 。最後，我們將本研究中的學模型擴展以研究近期出現由保證最低提演化而成的一種保證產品。這個產品名稱為保證終身提 (Guaranteed Lifelong Withdrawal Benefit, GLWB)，而此產品的到期日則與持有人的壽命相關。 ; In this thesis, we study the problem of pricing the variable annuity(VA) with the Guaranteed Minimum Withdrawal Benefits (GMWB) under the stochastic interest rate framework. The GMWB is a rider that can be elected to supplement a VA. It provides downside protection to policyholders by guaranteeing the total withdrawals throughout the life of the contract to be not less than a pre-specied amount, usually the initial lump sum investment, regardless of the investment performance of the VA. In our nancial model, we employ an exponential L´evy model for the underlying fund process and a Vasiček type model driven by a L´evy process for the interest rate dynamic. The dependence structure between the two driving L´evy processes is modeledby the L´evy copula approach whichis exible to model a wide range of dependence structure. An effcient simulation algorithm on L´evy copula is then used to study the behavior of the value of the GMWB when the dependence structure of the two L´evy processes and model parameters Vry. When the interest rate is deterministic, the value of the GMWB can be solved semi-analytically by the convolution method. Finally, we extend our model to study a recent variation of GMWB called Guaranteed Life long Withdrawal Benefits (GLWB) in which the maturity of the GLWB depends on the life of the policyhodler. ; Detailed summary in vernacular field only. ; Chan, Wang Ngai. ; Thesis (M.Phil.)--Chinese ... |
| Τύπος εγγράφου: | Thesis |
| Περιγραφή αρχείου: | electronic resource; remote; 1 online resource (xviii, 121 leaves) : ill. |
| Γλώσσα: | English Chinese |
| Relation: | cuhk:328794; http://library.cuhk.edu.hk/record=b5549175 |
| Διαθεσιμότητα: | http://library.cuhk.edu.hk/record=b5549175 https://repository.lib.cuhk.edu.hk/en/item/cuhk-328794 |
| Rights: | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
| Αριθμός Καταχώρησης: | edsbas.301A2745 |
| Βάση Δεδομένων: | BASE |
| FullText | Text: Availability: 0 CustomLinks: – Url: http://library.cuhk.edu.hk/record=b5549175# Name: EDS - BASE (ns324271) Category: fullText Text: View record from BASE |
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| Header | DbId: edsbas DbLabel: BASE An: edsbas.301A2745 RelevancyScore: 766 AccessLevel: 3 PubType: Dissertation/Thesis PubTypeId: unknown PreciseRelevancyScore: 765.984252929688 |
| IllustrationInfo | |
| Items | – Name: Title Label: Title Group: Ti Data: Pricing guaranteed minimum withdrawal benefits with Lévy processes. – Name: Author Label: Contributors Group: Au Data: Chan, Wang Ngai.<br />Chinese University of Hong Kong Graduate School. Division of Systems Engineering and Engineering Management. – Name: DatePubCY Label: Publication Year Group: Date Data: 2012 – Name: Subset Label: Collection Group: HoldingsInfo Data: The Chinese University of Hong Kong: CUHK Digital Repository / 香港中文大學數碼典藏 – Name: Subject Label: Subject Terms Group: Su Data: <searchLink fieldCode="DE" term="%22Variable+annuities--Prices%22">Variable annuities--Prices</searchLink><br /><searchLink fieldCode="DE" term="%22Pricing--Mathematical+models%22">Pricing--Mathematical models</searchLink><br /><searchLink fieldCode="DE" term="%22Lévy+processes%22">Lévy processes</searchLink> – Name: Abstract Label: Description Group: Ab Data: 本研究主要探討附保證最低提 (Guaranteed Minimum Withdrawal Benefits, GMWB)的變額(Variable Annuity, VA) 在隨機模型下之定價。保證最低提是變額的一種附加約 (rider) 並在市場下跌的情況下為變額持有人提供保障。它保證持有人在合約期內的總提少於一個預先訂的額，而變額的投資表現。一般，這個保證額相等於變額的初始投資額。本研究的融模型假設投資標的基價格符合對維過程 (exponential Lévy process)，而隨機則符合由維過程驅動的瓦西克模型 (Vasiček model)。融模型中的個維過程的相依結構 (dependence structure) 會由維關結構 (Lévy Copula) 描述。這個方法的好處是可描述同型的相依結構。用一個配合維關結構而有效的蒙地卡模擬方法，我們研究在同相依結構及模型下保證最低提的價值變化。在固定的特別情況下，保證最低提的價值能夠透過卷積方法 (convolution method) 而得到半解析解 (semi-analytical solution) 。最後，我們將本研究中的學模型擴展以研究近期出現由保證最低提演化而成的一種保證產品。這個產品名稱為保證終身提 (Guaranteed Lifelong Withdrawal Benefit, GLWB)，而此產品的到期日則與持有人的壽命相關。 ; In this thesis, we study the problem of pricing the variable annuity(VA) with the Guaranteed Minimum Withdrawal Benefits (GMWB) under the stochastic interest rate framework. The GMWB is a rider that can be elected to supplement a VA. It provides downside protection to policyholders by guaranteeing the total withdrawals throughout the life of the contract to be not less than a pre-specied amount, usually the initial lump sum investment, regardless of the investment performance of the VA. In our nancial model, we employ an exponential L´evy model for the underlying fund process and a Vasiček type model driven by a L´evy process for the interest rate dynamic. The dependence structure between the two driving L´evy processes is modeledby the L´evy copula approach whichis exible to model a wide range of dependence structure. An effcient simulation algorithm on L´evy copula is then used to study the behavior of the value of the GMWB when the dependence structure of the two L´evy processes and model parameters Vry. When the interest rate is deterministic, the value of the GMWB can be solved semi-analytically by the convolution method. Finally, we extend our model to study a recent variation of GMWB called Guaranteed Life long Withdrawal Benefits (GLWB) in which the maturity of the GLWB depends on the life of the policyhodler. ; Detailed summary in vernacular field only. ; Chan, Wang Ngai. ; Thesis (M.Phil.)--Chinese ... – Name: TypeDocument Label: Document Type Group: TypDoc Data: Thesis – Name: Format Label: File Description Group: SrcInfo Data: electronic resource; remote; 1 online resource (xviii, 121 leaves) : ill. – Name: Language Label: Language Group: Lang Data: English<br />Chinese – Name: NoteTitleSource Label: Relation Group: SrcInfo Data: cuhk:328794; http://library.cuhk.edu.hk/record=b5549175 – Name: URL Label: Availability Group: URL Data: http://library.cuhk.edu.hk/record=b5549175<br />https://repository.lib.cuhk.edu.hk/en/item/cuhk-328794 – Name: Copyright Label: Rights Group: Cpyrght Data: Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) – Name: AN Label: Accession Number Group: ID Data: edsbas.301A2745 |
| PLink | https://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.301A2745 |
| RecordInfo | BibRecord: BibEntity: Languages: – Text: English – Text: Chinese Subjects: – SubjectFull: Variable annuities--Prices Type: general – SubjectFull: Pricing--Mathematical models Type: general – SubjectFull: Lévy processes Type: general Titles: – TitleFull: Pricing guaranteed minimum withdrawal benefits with Lévy processes. Type: main BibRelationships: HasContributorRelationships: – PersonEntity: Name: NameFull: Chan, Wang Ngai. – PersonEntity: Name: NameFull: Chinese University of Hong Kong Graduate School. Division of Systems Engineering and Engineering Management. IsPartOfRelationships: – BibEntity: Dates: – D: 01 M: 01 Type: published Y: 2012 Identifiers: – Type: issn-locals Value: edsbas – Type: issn-locals Value: edsbas.oa |
| ResultId | 1 |