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考虑死亡风险下权益指数年金的定价
引用本文:钱林义,汪荣明,廖靖宇.考虑死亡风险下权益指数年金的定价[J].应用数学学报,2007,30(3):497-505.
作者姓名:钱林义  汪荣明  廖靖宇
作者单位:1. 华东师范大学统计系,上海,200062
2. 许昌学院数学系,许昌,461000
基金项目:国家社会科学基金;国家自然科学基金;高等学校博士学科点专项科研项目;上海市"曙光计划"
摘    要:权益指数年金(Equity Indexed Annuities)是欧美市场近十年发展起来的一类新型年金产品,有最小收益保证,在最小保证基础上与预先设定好的某类股指收益相关联.本文在考虑死亡风险情况下,对简单点对点和年度重设两种指数计算方法下权益指数年金的定价问题作了研究,给出了定价公式并对参与率作了敏感性分析.

关 键 词:权益指数年金  Esscher变换  参与率  简单点对点法  年度重设法  等价鞅测度
修稿时间:2006-04-13

Valuing Equity-indexed Annuities With Mortality Risk
QIAN LINYI,WANG RONGMING,LIAO JINGYU.Valuing Equity-indexed Annuities With Mortality Risk[J].Acta Mathematicae Applicatae Sinica,2007,30(3):497-505.
Authors:QIAN LINYI  WANG RONGMING  LIAO JINGYU
Institution:Department of Statistics, East China Normal University, Shanghai 200062;Department of Mathematics, Xuchang College, Xuchang 461000
Abstract:Equity-indexed annuity is a new kind of annuity whose development got started in the US and European market in the last ten years.A typical Equity-indexed annuity guarantees a minimum return on a portion of the initial amount invested.In addition to this minimum guarantee,the annuitant receives some participation in the appreciation of a pre-determined stock index.The paper discusses how to value an equity-indexed annuity with mortality risk by point to point method.and annual reset method.It also gives the formulas and makes analysis of sensitivity.
Keywords:Equity-indexed annuities  esscher transform  participation rate  point to point  annual reset  martingale probability measure
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