Valuation of with-profit life insurance contracts with embedded default options under stochastic volatility and double exponential jumps
碩士 === 國立臺北商業技術學院 === 財務金融研究所 === 102 === In this paper, we use Monte Carlo simulation approach with stochastic volatility and the double exponential jump diffusion process （SVCJ） model to simulate the assets of the insurance companies and the use of Andersen （2000） proposed a method to calculate th...
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| Format: | Others |
| Language: | zh-TW |
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2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/48129691660680259925 |
| Summary: | 碩士 === 國立臺北商業技術學院 === 財務金融研究所 === 102 === In this paper, we use Monte Carlo simulation approach with stochastic volatility and the double exponential jump diffusion process （SVCJ） model to simulate the assets of the insurance companies and the use of Andersen （2000） proposed a method to calculate the optimal exercise boundary implicit insurance companies including the right to sell the value of default risk, this default option allows early exercise, its approximate nature American put option strike price but the policy reserve is not a fixed value, the policy reserve increments over time. This paper implements sensitivity analysis of the participating policy when the insurance company has a higher or lower leverage levels.
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