사망률 개선을 고려한 보증옵션 가치평가
Pricing of Guaranteed Options Considering Mortality Improvement
- 주제(키워드) Duan's GARCH , Lee-Carter , Variable Annuity , Variable Whole Life Insurance
- 발행기관 아주대학교
- 지도교수 배형옥
- 발행년도 2016
- 학위수여년월 2016. 8
- 학위명 석사
- 학과 및 전공 일반대학원 금융공학과
- 실제URI http://www.dcollection.net/handler/ajou/000000023168
- 본문언어 영어
- 저작권 아주대학교 논문은 저작권에 의해 보호받습니다.
초록/요약
This study focuses on the valuation of GMAB costs on variable annuity and GMDB costs on variable whole life. In this paper, our work consists of two topics. The first one is to reflect the volatility clustering phenomenon and autocorrelation that appear empirically on the domestic stock index using GARCH models. From this, we evaluate the relevance of the guaranteed reserve compared with GBM(Geometric Brownain Motion, GBM). The second one is to calculate the appropriate guaranteed reserve considering the effect of the mortality improvement over the Lee-Carter model compared with the experience life table. As a result, this study suggests that insurance companies need to design a strategy that predicts and manages to the longevity risk and the mortality risk in advance in order to ensure the fiscal soundness for providing the insurance benefit.
more목차
1 Introduction 1
2 The Variable Insurance Warranty Options 4
2.1 The Concepts of Variable Insurance 4
2.1.1 The Status of Variable Insurance 4
2.2 The Types of Variable Insurance 5
2.2.1 Guaranteed Minimum Maturity Bene t (GMMB) 5
2.2.2 Guaranteed Minimum Death Bene t (GMDB) 6
2.2.3 Guaranteed Minimum Accumulation Bene t (GMAB) 6
2.2.4 Guaranteed Minimum Surrender Bene t (GMSB) 6
3 Stock Return Models 7
3.1 Historical Data 7
3.2 Stock Return Models 10
3.2.1 Log Normal Model 10
3.2.2 Duan's GARCH Model 11
3.3 Parameter Estimate 14
4 Estimation of Mortality Applying Lee-Carter Model 16
4.1 Lee-Carter Model (LC model) 16
4.2 Mortality Estimation Process 17
4.2.1 Outline of The Mortality Model 17
4.2.2 Matrix Decomposition and Estimation Algorithm 18
4.3 Mortality Estimation Results 20
4.3.1 Mortality to be used for the estimation 20
4.3.2 b (x) Estimation 21
4.3.3 ARIMA Model 23
4.3.4 Transition E ect 23
4.3.5 The Final Mortality Estimation 24
5 The Guaranteed Reserve Pricing 27
5.1 Variable Annuity 27
5.1.1 The Contract Properties 27
5.1.2 Mortality 27
5.1.3 Lapse Rate 27
5.1.4 The Return on Investment 28
5.1.5 Evaluation Model 28
5.2 Variable Universal Whole Life 28
5.2.1 The Contract Properties 29
5.2.2 Mortality 29
5.2.3 Lapse Rate 29
5.2.4 The Return on Investment 29
5.2.5 Evaluation Model 30
5.3 Valuation Results 30
5.3.1 Variable Annuities 30
5.3.2 Variable Universal Whole Life 35
6 Conclusion 38
References 41
