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    政大機構典藏 > 商學院 > 統計學系 > 學位論文 >  Item 140.119/99313
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/99313

    Title: 美國退休福利保險公司狀態轉換保險評價模型
    The Pricing Model of Pension Benefit Guaranty Corporation Insurance with Regime Switching Processes
    Authors: 王暐豪
    Wang, Wei Hao
    Contributors: 林士貴

    Lin, Shih Kuei
    Tsai, Wen Chi

    Wang, Wei Hao
    Keywords: 美國退休福利保險公司(PBGC)
    EM 演算法
    Pension Benefit Guaranty Corporation(PBGC)
    Regime Switching Process
    EM Algorithm
    Date: 2016
    Issue Date: 2016-07-20 16:52:38 (UTC+8)
    Abstract: 本文研究美國退休福利保險公司(PBGC)保險價值的計算,延伸 Marcus (1987)模型,提出狀態轉換過程保險價值模型計算,也就是將市場分為兩種情況,正成長率視為正常狀態,負成長率為衰退狀態,利用狀態轉換過程評價 PBGC 契約在經濟困難而終止和介入終止下合理的保險價值。在參數估計方面,本文以 S&P500股價指數和一年期國庫券資料參數估計值及Marcus(1987)和Pennacchi and Lewis(1994)的方式給定參數,以 EM-PSO-Gradient 延伸 EM-Gradient 方法並以最大概似函數值、AIC 準則和 BIC 準則比較估計結果。最後固定其他參數, 探討狀態轉換過程保險價值模型對參數調整後保險價值的影響之敏感度分析。
    In this paper, we evaluate Pension Benefit Guaranty Corporation insurance values through regime switching models, which is the extension of the models of Marcus (1987). That is, we can separate periods of economy with faster growth from those with slower growth when observing long-term trends in economy and calculate the reasonable PBGC insurance values under distress termination and intervention termination by regime switching processes. We set parameters by estimating S&P 500 index and 1-year treasury bills by EM-PSO-Gradient, which is the extensive method of EM-Gradient and refer the methods of setting parameters from Marcus (1987) and Pennacchi and Lewis (1994). After that, we compare the maximum likelihood estimates, AIC and BIC of the estimative results. Finally, we do sensitivity analysis through given the other parameters and look into what would impact on our models of insurance values when adjusting one parameter.
    Reference: [1] Akaike, H., 1974. A new look at the statistical model identification. IEEE Transactions on Automatic Control, 19(6): 716-723.
    [2] Black, F., & Scholes, M., 1973. The pricing of options and corporate liabilities. Journal of Political Economy, 81(3): 637-654.
    [3] Bodie, Z., Marcus, A. J., & Merton, R. C., 1988. Pensions in the U.S. Economy. University of Chicago Press.
    [4] Dempster, A. P., Laird, N. M., & Rubin, D. B., 1977. Maximum likelihood from incomplete data via EM algorithm. Journal of the Royal Statistical Society. Series
    B (Methodological), 39(1): 1-38.
    [5] Ehiwario, J. C., & Aghamie, S. O., 2014. Comparative study of bisection, Newton-Raphson and secant methods of root-finding problems. IOSR Journal of Engineering, 4(4): 1-7.
    [6] Hamilton, J. D., 1989. A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica, 57: 357-384.
    [7] Hsieh, S. J., Chen, A. H., & Ferris, K. R., 1994. The valuation of PBGC insurance premiums using an option pricing model. The Journal of Finance and
    Quantitative Analysis, 29(1): 89-99.
    [8] Jordan, M., & Jacobs, R. A., 1994. Hierarchical mixtures of experts and the EM
    algorithm. Neural Computation, 6(2): 181-214.
    [9] Karla, R., & Jain, G., 1997. A continuous-time model to determine the intervention policy for PBGC. Journal of Banking and Finance, 21: 1159-1177.
    [10] Kennedy, J., & Eberhart, R., 1995. Neural Networks. Paper presented at Proceedings of IEEE International Conference.
    [11]Lange, K., 1995. A quasi-newton acceleration of the EM algorithm. Statistica Sinica, 5: 1-18.
    [12] Lee, J. P., & Yu, M. T., 2006. Closure rules and the valuation of pension benefit guaranty. Paper presented at Financial Management Association Annual Meeting,
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    [13] Marcus, A. J., 1987. Corporate pension policy and the value of PBGC insurance, in Bodie, Z., J. Shoven, and D. A. Wise (Eds), Issues in Pension Economics, University of Chicago Press: 49-79.
    [14] Pension benefit guaranty corporation, 2013. Pension Insurance Data Book. [15] Pension benefit guaranty corporation, 2013. PBGC FY 2013 Projections Report.
    [16] Pennacchi, G. G., & Lewis, C. M., 1994. The value of pension benefit guaranty
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    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0103354024
    Data Type: thesis
    Appears in Collections:[統計學系] 學位論文

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