کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5077709 | 1374147 | 2006 | 20 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
In this paper, we extend the analysis of the behaviour of pension contracts with guaranteed annuity conversion options (as presented in Ballotta and Haberman [Insurance: Math. Econ. 33 (2003) 87]) to the case in which mortality risk is incorporated via a stochastic model for the evolution over time of the underlying hazard rates. The pricing framework makes also use of a Black-Scholes/Heath-Jarrow-Morton economy in order to obtain an analytical solution to the fair valuation problem of the liabilities implied by these particular pension policies. The solution is not in closed form, and therefore, we resort to Monte Carlo simulation. Numerical results are investigated and the sensitivity of the price of the option to changes in the key parameters from the financial and mortality models is also analyzed.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 38, Issue 1, 24 February 2006, Pages 195-214
Journal: Insurance: Mathematics and Economics - Volume 38, Issue 1, 24 February 2006, Pages 195-214
نویسندگان
Laura Ballotta, Steven Haberman,