作者:Zheng, HT (Zheng, Haitao)[ 1 ] ; Hao, JZ (Hao, Junzhang)[ 1 ] ; Bai, MY (Bai, Manying)[ 1 ] ; Zhang, ZJ (Zhang, Zhengjun)[ 2 ]
DISCRETE DYNAMICS IN NATURE AND SOCIETY
卷: 2019文献号: 9439786
DOI: 10.1155/2019/9439786
出版年: 2019
文献类型:Article
摘要
Crisis events have significantly changed the view that extreme events in financial markets have negligible probability. Especially in the life insurance market, the price of guaranteed participating life insurance contract will be affected by a change in asset volatility which leads to the fluctuations in embedded option value. Considering the correlation of different asset prices, MEGB2 (multivariate exponential generalized beta of the second kind) distribution is proposed to price guaranteed participating life insurance contract which can effectively describe the dependence structure of assets under some extreme risks. Assuming the returns of two different assets follow the MEGB2 distribution, a multifactor fair valuation pricing model of insurance contract is split into four components: the basic contract, the annual dividend option, the terminal dividend option, and the surrender option. This paper studies the effect of death rate, minimum guaranteed yield rate, annual dividend ratio, terminal dividend ratio, and surrender on the embedded option values and calculates the single premium of the insurance contract under different influence factors. The Least-Squares Monte Carlo simulation method is used to simulate the pricing model. This article makes a comparison in the sensitivity of the pricing parameters under the MEGB2 distribution and Multivariate Normal distribution asset returns. Finally, an optimal hedging strategy is designed to cover the possible risks of the underlying assets, which can effectively hedge the risks of portfolio.
关键词
KeyWords Plus:HEDGING VARIABLE ANNUITIES; OPTION; RISK; JUMP; MARKET; POLICY
通讯作者地址:
Beihang University Beihang Univ, Sch Econ & Management, Beijing 100083, Peoples R China.
通讯作者地址: Hao, JZ (通讯作者)
