کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077417 1374129 2010 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Optimal design of profit sharing rates by FFT
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Optimal design of profit sharing rates by FFT
چکیده انگلیسی
This paper addresses the calculation of a fair profit sharing rate for participating policies with a minimum interest rate guaranteed. The bonus credited to policies depends on the performance of a basket of two assets: a stock and a zero coupon bond and on the guarantee. The dynamics of the instantaneous short rates are driven by a Hull and White model, whereas the stocks follow a double exponential jump-diffusion model. The participation level is determined such that the return retained by the insurer is sufficient to hedge the interest rate guaranteed. Given that the return of the total asset is not lognormal, we rely on a Fast Fourier Transform to compute the fair value of bonus and guarantee options.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 46, Issue 3, June 2010, Pages 470-478
نویسندگان
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