CAJ | 학술논문

权益指数年金收益在最小保证基础上,能参与特定权益的收益.通常权益指数年金定价是在假设权益指数遵从Black-Scholes模式下进行的,但是一些例外事件(比如,重大的政治事件)的发生,会导致价格的巨幅波动,这个假设并不合理.因此本文研究了权益指数在跳扩散模型下权益指数年金的定价问题.运用Esscher变换方法得到了点对点指数收益方法下权益指数年金定价的显示解,并对结果作了敏感性分析.
권익지수년금수익재최소보증기출상,능삼여특정권익적수익.통상권익지수년금정개시재가설권익지수준종Black-Scholes모식하진행적,단시일사예외사건(비여,중대적정치사건)적발생,회도치개격적거폭파동,저개가설병불합리.인차본문연구료권익지수재도확산모형하권익지수년금적정개문제.운용Esscher변환방법득도료점대점지수수익방법하권익지수년금정개적현시해,병대결과작료민감성분석.
The Equity-Indexed Annuity(EIA)contract offers a proportional participation in the return on a specified equity index,in addition to a guaranteed return on the single premium.In general,valuation of Equity-Indexed Annuity is often assumed that the equity index is within the Black-Scholes framework.But some rare events(release of an unexpected economic figure,major political changes or even a natural disaster in a major economy)can lead to brusque variations in prices.So in the present work we study the equity index following a jump diffusion process.By Esscher transform,we obtain a closed form of the valuation of point-to-point EIA,which can be expressed as a function of some pricing factors.Finally,we conduct several numerical experiments in which,the break even participation rate α can be solved when the other factors are fixed.The relationship between α and the other factors are also discussed.