DocumentCode
2967984
Title
Research into Valuation Model of Unitized With-Profit Contract with Surrender Option
Author
Zheng, Haitao ; Luo, Qiyao ; Qin, Zhongfeng ; Ren, Ruoen
Author_Institution
Sch. of Econ. & Manage., Beihang Univ., Beijing, China
fYear
2011
fDate
12-14 Aug. 2011
Firstpage
1
Lastpage
4
Abstract
The value of Unitized With-Profit contract is affected by surrender, guaranteed interest rate and bonus strategy. This paper is intended to construct a valuation model for Unitized With-Profit Contract considering all these factors. In this model, these elements can be valued separately underpinned by Monte Carlo techniques. From the numerical results, we concluded that the effect of surrender option shouldn´t be overlooked while pricing this kind of contracts.
Keywords
Monte Carlo methods; contracts; incentive schemes; pricing; profitability; strategic planning; Monte Carlo techniques; bonus strategy; guaranteed interest rate; pricing; surrender option; unitized with-profit contract; valuation model; Companies; Contracts; Cost accounting; Economic indicators; Insurance; Monte Carlo methods; Portfolios;
fLanguage
English
Publisher
ieee
Conference_Titel
Management and Service Science (MASS), 2011 International Conference on
Conference_Location
Wuhan
Print_ISBN
978-1-4244-6579-8
Type
conf
DOI
10.1109/ICMSS.2011.5998434
Filename
5998434
Link To Document