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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/25924完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 呂育道(Yuh-Dauh Lyuu) | |
| dc.contributor.author | Szu-Yu Lin | en |
| dc.contributor.author | 林思瑜 | zh_TW |
| dc.date.accessioned | 2021-06-08T06:57:07Z | - |
| dc.date.copyright | 2009-08-03 | |
| dc.date.issued | 2009 | |
| dc.date.submitted | 2009-07-20 | |
| dc.identifier.citation | [1] BRACE, A., Gatarek, D. and Musiela, M. “The Market Model of Interest Rate Dynamics,” Mathematical Finance (1997), 127–155.
[2] BRIGO, D. and MERCURIO, F. Interest Models Theory and Practice. Springer-Verlag, 2001. [3] CHEN, Z. and FORSYTH, P. “A Numerical Scheme for the Impulse Control Formulation for Pricing Variable Annuities with a Guaranteed Minimum Withdrawal Benefit (GMWB),” Numerische Mathematik, Vol 109, Issue 4 (2007) , 535–569. [4] CHEN, Z.,VETZAL K. and F ORSYTH, P.A. “The Effect of Modelling Parameters on the Value of GMWB Guarantees,” Insurance: Mathematics and Economics, 43 (2008), 165–173. [5] HULL, J.C., Options, Futures, and Other Derivatives. 6th edition, New Jersey: Pearson Prentice Hall, 2006. [6] LYUU, Y.D. Financial Engineering and Computation: Principles, Mathematics, Alhorithms. Cambridge University Press, 2002. [7] MILEVSKY, M. and SALISBURY, T.S. “Financial Valuation of Guaranteed Minimum Withdrawal Benefits,” Insurance: Mathematics and Economics, 38 (2006), 21–38. [8] PENG, J., LEUNG K.S. and KWOK Y.K. “Pricing Guaranteed Minimal Withdrawal Benefits under Stochastic Interest Rates,” Working Paper, Hong Kong University of Science and Technology (2008). [9] SHREVE, E.: Stochastic Calculus for Finance II - Continuous-Time Models. New York: Springer Finance, 2004. [10] YANG, S., WANG ,C.W. and LIU I.C. “A Closed Form Approximation for Valuing Guaranteed Minimum Withdrawal Benefits,” Working Paper, (2009). [11] 陳松男. “利率金融工程學：理論模型及實務應用.” 新陸書局(2005). [12] 廖容晨. “LIBOR市場模型下可贖回CMS價差區間型商品之評價與分析.” 國立中興大學財務金融學研究所碩士學位論文(2007). [13] 林威廷. “含解約權之附保證變額壽險評價分析. “ 國立政治大學風險管理與保險研究所碩士學位論文(2008). | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/25924 | - |
| dc.description.abstract | 附保證商品是最近最熱門的保險商品之一，投資結合保障的觀念，近來多使用於個人理財與生涯規劃。本文目的為分析保證最低提領給付附約(guaranteed minimum withdrawal benefit; GMWB)商品，並考慮在固定利率下與隨機利率下的定價。延續Milevsky and Salisbury (2006)的討論，假設GMWB商品架構，在考慮隨機利率下，利用LIBOR Market Model (BGM model)，在市場資訊下求出保險公司收取之費用率，並與固定利率比較。 | zh_TW |
| dc.description.abstract | In the research, we deal with the guaranteed minimum withdrawal benefits (GMWB). First, under the Milevsky and Salisbury (2006) assumptions, we discuss the price of the GMWB with fixed rate when the equity process follows lognormal distribution or jump-diffusion process. Then we discuss pricing with stochastic interest rate. Here we assume the interest rate process follows the LIBOR Market Model, also called the BGM model. Numerical experiments show the differences between fixed rate and stochastic rate with Monte Carlo simulation. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T06:57:07Z (GMT). No. of bitstreams: 1 ntu-98-R96723061-1.pdf: 438045 bytes, checksum: 9ea3d8dfa33aa30c2fcc8963b3f19649 (MD5) Previous issue date: 2009 | en |
| dc.description.tableofcontents | 第一章 緒論 1
第一節 研究背景及動機 1 第二節 研究目的 3 第二章 相關文獻及理論探討 4 第一節 投資保證投資型保險之相關文獻 4 第二節 利率模型 4 第三章 固定利率下的GMWB評價 6 第一節 對數常態模型下之GMWB評價模型 6 第二節 跳躍過程模型下之GMWB模型 7 第四章 隨機利率下的GMWB評價 9 第一節 隨機利率BGM模型建立 9 第二節 隨機利率下GMWB評價模型 10 第三節 隨機利率下跳躍模型下之GMWB模型 11 第五章 GMWB評價之數值結果 12 第一節 隨機利率下GMWB評價步驟 12 第二節 蒙地卡羅模擬數值結果及敏感度分析 17 第六章 結論與後續研究方向 21 參考文獻 22 附錄 24 | |
| dc.language.iso | zh-TW | |
| dc.title | 隨機利率下附保證提領保險商品評價 | zh_TW |
| dc.title | Pricing Guaranteed Minimum Withdrawal Benefit under Stochastic Interest Rates | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 97-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.coadvisor | 楊曉文(Sharon S. Yang) | |
| dc.contributor.oralexamcommittee | 戴天時(Tian-Shyr Dai),曾郁仁(Larry Y. Tzeng) | |
| dc.subject.keyword | 保證最低提領給付,隨機利率,BGM模型,蒙地卡羅模擬, | zh_TW |
| dc.subject.keyword | GMWB, Milevsky and Salisbury,stochastic interest rates,BGM model,Monte Carlo simulation., | en |
| dc.relation.page | 28 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2009-07-20 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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