DocumentCode :
2179411
Title :
Valuation of variable annuity contracts with cliquet options in Asia markets
Author :
Hsieh, Ming-hua
Author_Institution :
Dept. of Manage. Inf. Syst., Nat. Chengchi Univ., Taipei, Taiwan
fYear :
2008
fDate :
7-10 Dec. 2008
Firstpage :
602
Lastpage :
606
Abstract :
Variable annuities are very appealing to the investor. For example, in United States, sales volume on variable annuities grew to a record 184 billion in calendar year 2006. However, due to their complicated payoff structure, their valuation and risk management are challenges to the insurers. In this paper, we study a variable annuity contract with cliquet options in Asia markets. The contact has quanto feature. We propose an efficient Monte Carlo method to value the contract. Numerical examples suggest our approach is quite efficient.
Keywords :
Monte Carlo methods; contracts; insurance; investment; risk management; stock markets; Asia market investment; Monte Carlo method; cliquet option; equity-linked insurance contract; risk management; variable annuity contract valuation; Asia; Contracts; Cost accounting; Insurance; Investments; Marketing and sales; Monte Carlo methods; Protection; Security; Stochastic processes;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Simulation Conference, 2008. WSC 2008. Winter
Conference_Location :
Austin, TX
Print_ISBN :
978-1-4244-2707-9
Electronic_ISBN :
978-1-4244-2708-6
Type :
conf
DOI :
10.1109/WSC.2008.4736119
Filename :
4736119
Link To Document :
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