The Valuation of Option Features in Retirement Benefits
The Valuation of Option Features in Retirement Benefits
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DOI：
10.2307/253821
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发表时间：
1995-09
影响因子：
1.9
通讯作者：
M. Sherris
中科院分区：
文献类型：
--
作者：
M. Sherris
本文将一种或有索赔评估方法扩展并应用于退休基金福利中的期权特征。该方法包括退休、死亡和其他减值，并考虑到福利支付和标准期权支付之间的差异。通常用于金融期权估值的离散点阵实现对于这些期权特征的估值并不令人满意。结果表明，仿真更有效。然后使用模拟计算简化基金在一定年龄范围内的收益值。许多模拟情景的估值结果表明，传统的确定性精算估值可能将这些收益的成本低估了25%至35%。
This article extends and applies a contingent claims valuation approach to option features in retirement fund benefits. The approach incorporates retirement, mortality, and other decrements and allows for differences between the benefit payments and standard option payoffs. A discrete lattice implementation commonly used for valuing financial options is found to be unsatisfactory for the valuation of these option features. Simulation is found to be more efficient. Simulation is then used to calculate benefit values for a range of ages for a simplified fund. The results of the valuations for a number of simulation scenarios demonstrate that a traditional deterministic actuarial valuation can understate the cost of these benefits by as much as 25 to 35 percent.