AJOU Central Library Repository: 사망률 개선을 고려한 보증옵션 가치평가

Graduate School of Ajou University Department of Financial Engineering 3. Theses(Master)

사망률 개선을 고려한 보증옵션 가치평가

Alternative Title: Pricing of Guaranteed Options Considering Mortality Improvement

Keyword: Duan's GARCH; Lee-Carter; Variable Annuity; Variable Whole Life Insurance

Alternative Abstract: 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.

Appears in Collections:: Graduate School of Ajou University > Department of Financial Engineering > 3. Theses(Master)

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