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수치적 방법에 의한 이익배당부 생명보험계약의 가치평가
- Alternative Title
- Hong Taehee
- Author(s)
- 홍태희
- Alternative Author(s)
- Hong Taehee
- Advisor
- 배형옥
- Department
- 일반대학원 금융공학과
- Publisher
- The Graduate School, Ajou University
- Publication Year
- 2014-02
- Language
- eng
- Keyword
- 이익배당부 보험; FDM; Monte Carlo; 병렬계산
- Alternative Abstract
- We apply a finite difference scheme to evaluate the premium of an insurance which have complicated participating payoff structure. The participating policy is an insurance contract such that the policy holder has right to be paid dividends. Since the rebate structure of the objective insurance is quite similar to an exotic option (Cliquet option) in the financial derivatives market, we apply theories and numerical schemes from option pricing problems to the premium pricing. For that, we solve a set of one dimensional Black-Scholes type partial differential equations where the size of the number of equations shrinks annually. We numerically validated our algorithm through several benchmark problems including complicated contract such as the participating policy with mortality. In this article, we suggest parallel computation techniques such as MPI(Message Passing Interface) for improving computational efficiency in our algorithm.
- Fulltext
- Appears in Collections:
- Graduate School of Ajou University > Department of Financial Engineering > 3. Theses(Master)
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