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題名:Analytic Formulae for Valuing Guaranteed Minimum Withdrawal Benefits in a Multi-asset Framework
書刊名:財務金融學刊
作者:楊曉文王昭文 引用關係劉議謙 引用關係
作者(外文):Yang, Sharon S.Wang, Chou-wenLiu, I-chien
出版日期:2020
卷期:28:1
頁次:頁1-25
主題關鍵詞:保證最低提領給付解析解公式平均值概念反咖瑪分配對數常態分配Guaranteed minimum withdrawal benefitsAnalytic formulaeAveraging conceptReciprocal gamma distributionLognormal distribution
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:8
期刊論文
1.Chen, Zhang、Vetzal, Ken、Forsyth, Peter A.(2008)。The Effect of Modelling Parameters on the Value of GMWB Guarantees。Insurance: Mathematics and Economics,43,165-173。  new window
2.Milevsky, Moshe A.、Salisbury, Thomas S.(2006)。Financial Valuation of Guaranteed Minimum Withdrawal Benefits。Insurance: Mathematics and Economics,38,21-38。  new window
3.Milevsky, Moshe A.、Posner, Steven E.(1998)。Asian options, the sum of lognormals, and the reciprocal gamma distribution。The Journal of Financial and Quantitative Analysis,33(3),409-422。  new window
4.Ballotta, Laura、Haberman, Steven(2006)。The Fair Valuation Problem of Guaranteed Annuity Options: The Stochastic Mortality Environment Case。Insurance: Mathematics and Economics,38,195-214。  new window
5.Dewynne, Jeff、Wilmott, Paul(1993)。Partial to the exotic。Risk,6,38-46。  new window
6.Brennan, Michael J.、Schwartz, Eduardo S.(1976)。The Pricing of Equity-linked Life Insurance Policies with an Asset Value Guarantee。Journal of Financial Economics,3(3),195-213。  new window
7.Ballotta, Laura、Haberman, Steven(2003)。Valuation of Guaranteed Annuity Conversion Options。Insurance: Mathematics and Economics,33,87-108。  new window
8.Boyle, Phelim P.、Hardy, Maiy R.(2003)。Guaranteed Annuity Options。ASTIN Bulletin: The Journal of the IAA,33,125-152。  new window
9.Kemna, Angelien G. Z.、Vorst, Antonius C. F.(1990)。A pricing method for options based on average asset values。Journal of Banking and Finance,14(1),113-129。  new window
10.Hull, John C.、White, Alan D.(1993)。Efficient procedures for valuing European and American path-dependent options。Journal of Derivatives,1(1),21-31。  new window
11.Milevsky, Moshe A.、Posner, Steven E.(2001)。The Titanic Option: Valuation of The Guaranteed Minimum Death Benefit in Variable Annuities and Mutual Funds。Journal of Risk and Insurance,68(1),93-128。  new window
12.Brennan, Michael J.、Schwartz, Eduardo S.(1979)。Alternative Investment Strategies for the Issuers of Equity-Linked Life Insurance Policies with an Asset Value Guarantee。Journal of Business,52,63-93。  new window
13.Milevaky, Moshe A.、Posner, Steven E.(1998)。A Closed-Form Approximation for Valuing Basket Options。Journal of Derivatives,5(4),54-61。  new window
14.Bauer, Daniel、Kling, Alexander、Russ, Jochen(2008)。A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities。ASTIN Bulletin,38,621-651。  new window
15.Dai, Min、Kowk, Yue Kuen、Zong, Jianping(2008)。Guaranteed Minimum Withdrawal Benefit in Variable Annuities。Mathematical Finance,18,595-611。  new window
16.Peng, Jingjiang、Leung, Kwai Sun、Kwok, Yue Kuen(2012)。Pricing Guaranteed Minimum Withdrawal Benefits under Stochastic Interest Rates。Quantitative Finance,12(6),933-941。  new window
17.Yang, Sharon S.、Dai, Tian-Shyr(2013)。A Flexible Tree for Evaluating Guaranteed Minimum Withdrawal Benefits under Deferred Life Annuity Contracts with Various Provisions。Insurance: Mathematics and Economics,52(2),231-242。  new window
18.Bouaziz, Laurent、Briys, Eric、Crouhy, Michel(1994)。The Pricing of Forward-Starting Asian Options。Journal of Banking and Finance,18,823-839。  new window
19.Levy, Edmond(1992)。Pricing European Average Rate Currency Options。Journal of International Money and Finance,11(5),474-491。  new window
20.Turnbull, Stuart M.、Wakeman, Lee MacDonald(1991)。A quick algorithm for pricing European average options。The Journal of Financial and Quantitative Analysis,26(3),377-389。  new window
21.Bacinello, Anna R.、Millossovich, Pietro、Montealegre, Alvaro(2016)。The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours。Scandinavian Actuarial Journal,2016(5),446-465。  new window
22.Boyle, Phelim、Potapchik, Alexander(2008)。Prices and sensitivities of Asian options: A survey。Insurance Mathematics and Economics,42(1),189-211。  new window
23.Donnelly, Ryan、Jaimungal, Sebastian、Rubisov, Dmitri H.(2014)。Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility。Quantitative Finance,14,369-382。  new window
24.Huang, Yao Tung、Kwok, Yue Kuen(2014)。Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products。Journal of Economic Dynamics and Control,45,19-43。  new window
25.Lo, Chien-Ling、Palmer, Kenneth J.、Yu, Min-Teh(2014)。Moment-matching approximations for Asian options。Journal of Derivatives,21(4),103-122。  new window
26.Milevsky, Moshe A.(1997)。The present value of a stochastic perpetuity and the Gamma distribution。Insurance: Mathematics and Economics,20,243-250。  new window
27.Moenig, Thorsten、Bauer, Daniel(2016)。Revisiting the risk-neutral approach to optimal policyholder behavior: A study of withdrawal guarantees in variable annuities。Review of Finance,20(2),759-794。  new window
研究報告
1.Liu, I-Chien(2008)。Valuation of guaranteed minimum withdrawal benefits for insurance products。  new window
圖書
1.Klebaner, Fima C.(2012)。Introduction to Stochastic Calculus with Applications。London:Imperial College Press。  new window
單篇論文
1.LIMRA Secure Retirement Institute(2016)。Variable Annuity Guaranteed Living Benefits Election Tracking。  new window
 
 
 
 
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