کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077691 1374145 2006 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Pricing of multi-period rate of return guarantees: The Monte Carlo approach
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Pricing of multi-period rate of return guarantees: The Monte Carlo approach
چکیده انگلیسی
The uncertain yearly returns on both life and pension insurance policies are often bounded from below by a minimum guaranteed rate of return. It turns out that this yearly, or multi-period guarantee can have a very high economic value. However, because determining this value is a problem of high dimension, obtaining an estimate of it can be rather difficult and time-consuming. In this paper we present a numerical valuation method for estimating the market value of the multi-period guarantee when the uncertainty in the interest rates is modeled in a Heath, Jarrow, and Morton framework with an exponential volatility structure.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 39, Issue 1, 1 August 2006, Pages 135-149
نویسندگان
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