Valuing Equity-Indexed Annuities
Valuing Equity-Indexed Annuities
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DOI：
10.1080/10920277.2000.10595945
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发表时间：
2000-10
影响因子：
1.4
通讯作者：
Serena Tiong
中科院分区：
文献类型：
--
作者：
Serena Tiong
摘要股票指数年金自1995年初首次引入市场以来，在保险公司及其客户中引起了极大的兴趣和兴奋。由于股票指数年金产品内含期权，保险公司在定价和管理股票指数年金时面临着一些具有挑战性的数学问题。本文探讨了三种最常见的产品设计的定价方面：点对点，小团体和回顾。基于一定的假设，我们能够以封闭的形式给出三种产品设计的定价公式。Esscher变换方法是为这种递延年金定价的基本工具。
Abstract Equity-indexed annuities have generated a great deal of interest and excitement among both insurers and their customers since they were first introduced to the marketplace in early 1995. Because of the embedded options in these products, the insurers are presented with some challenging mathematical problems when it comes to the pricing and management of equity indexed annuities. This paper explores the pricing aspect of three of the most common product designs: the point-to-point, the cliquet, and the lookback. Based on certain assumptions, we are able to present the pricing formulas in closed form for the three product designs. The method of Esscher transforms is the fundamental tool for pricing such deferred annuities.