베이지언 통계기법을 이용한 최저실적배당연금액 보증옵션에 대한 연구
- 주제(키워드) Bayesian method , regime-switching model , GLWB
- 발행기관 아주대학교
- 지도교수 배형옥
- 발행년도 2019
- 학위수여년월 2019. 2
- 학위명 석사
- 학과 및 전공 일반대학원 금융공학과
- 실제URI http://www.dcollection.net/handler/ajou/000000028728
- 본문언어 영어
- 저작권 아주대학교 논문은 저작권에 의해 보호받습니다.
초록/요약
Guaranteed Lifetime Withdrawal Benefit(GLWB) guarantees that consumers will receive a certain amount of pensions or more until death without having to sign up for whole life annuity pension. Therefore, the appropriate price of the GLWB is important. In this study, we analyze the effect of the selection of the stock return model on the calculation of GLWB price by using bayesian statistical method. The maximum likelihood estimation method used in previous studies does not reflect the uncertainty of the estimated parameters. However, if we use bayesian inference, we can easily reflect the uncertainty of the estimated parameters. In addition, we calculated the appropriate option prices by applying the estimated parameters and the GLWB price calculation formula, and then analyzed the factors affecting the GLWB price calculation by conducting the sensitivity analysis according to the changes of the fundamental variables.
more목차
1. Introduction 1
2. Guarantee Option in Variable Annuity 4
3. Theoretical Background 8
3.1 Guaranteed Lifetime Withdrawal Benefit 8
3.2 Stock Return models 9
3.2.1 Lognormal Model 9
3.2.2 Regime Switching Lognormal Model 9
3.3 Bayesian inference 11
3.3.1 MCMC method 12
3.3.2 Clifford-Hammersley Theorem 13
3.3.3 Gibbs sampling 13
3.3.4 Highest Posterior Density Interval 14
4. MCMC for Stock Return Models 15
4.1 MCMC for the LN model 15
4.2 MCMC for the RSLN2 model 16
4.2.1 Gibbs sampling for drawing states 17
4.2.2 Generate transition probability 19
4.2.3 Generate means 20
4.2.4 Generate variances 21
4.3 MCMC results 23
5. GLWB Option Pricing 26
5.1 Notation 26
5.2 Static Approach 26
5.3 Model 27
5.4 GLWB Pricing 28
6. Sensitivity analysis 31
7. Conclusion 33
Reference 35
