一个具有保底投资收益的投资连接寿险定价模型_杨舸.pdfVIP

2005 11 11 : 1000-6788( 2005) 11- 0051- 04 杨 舸, 田 澎 ( , 200052) : , ( ) , . , ( EBSOP) , ; , , . : ; ; ; : F84062 : A A Pricing Mode of Equity- inked Life Insurance w ith Investment Return Guarantees YANG Ge, TIAN Peng ( Antai Schoo of M anagement , Shanghai Jiaotong University, Shanghai 200030, China) Abstract: T his paper presents a new pricing mode for equity- inked if e insurance w ith tw o kinds of guarantees : death benef it guarantees and investment return guarantees. Some numerica resu ts are given. The resu ts show that such kind of contract is composed w ith a guaranteed investment fund and a European bear spreads option package (EBSOP) w hose va ue can not be ignored. The package is ou-t of-money on y when the death benef it guarantee is sma er than invest return guarantee. On such condition , the contract can be treated as an ear y exercisab e fund with interest rate guarantees. Key words : equity- inked ife insurance; pricing mode ; guaranteed return; option packages , . , . 1999 , . , . , , . , , . 2003 , , , . , , . , . , , , . . Brennan Schwartz[ 1, 2] Boy e Schwartz[ 3] B ack- Scho es . , Bacine o Ortu[ 4] Nie sen Sandmann[ 5] . 2002 , Bacine o Persson[ 6] . : 2004- 11-29 : ( 1972- ) , , , , , , : , E- mai : gyang428@ sjtu. edu . cn; ( 1958- ) , , , , ( ) , , , . 52 2005 11 , . Grosen Jorgensen[ 7] , , . , , . , . , . , , , . 1 11 , U0