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    題名: Fast Algorithms for Pricing Ratchet Equity Indexed Annuities
    作者: Chiu, Yu-fen;Chen, Son-Nan;Hsieh, Ming-hua
    謝明華;邱于芬;陳松男
    貢獻者: 風管系
    關鍵詞: Annuities;Insurance;Options
    日期: 2010-09
    上傳時間: 2014-03-18 17:34:24 (UTC+8)
    摘要: Equity Indexed Annuities (EIAs) are popular insurance contracts. EIAs provide the insured with a guaranteed accumulation rate on their premium at maturity. In addition, the insured may receive extra benefit if the return of the linked index is high enough. There are a few variations of EIAs. We consider two types of EIAs: compound ratchet and simple ratchet. Under the geometric Brownian motion assumption for the equity index, plain compound ratchet options is known to have closed form solutions, but plain simple ratchet option is not. In this paper, we derive a closed form solution for plain simple ratchet option. For more exotic options, Monte Carlo methods are usually used for their valuation. To improve their efficiency, we propose Monte Carlo algorithm using two control variates based on the analytical solutions for the price of plain ratchet options. Through numerical examples of a typical contract, we found that the proposed algorithms are very efficient.
    關聯: International Research Journal of Finance and Economics, 48, 144-152
    資料類型: article
    顯示於類別:[風險管理與保險學系] 期刊論文

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