Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 伍卓贤教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1016/j.insmatheco.2011.06.003 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/9WOS source URL
Scopushttp://aims.cuhk.edu.hk/converis/portal/Publication/10Scopus source URL
其它资讯
摘要Variable annuities are usually sold with a range of guarantees that protect annuity holders from some downside market risk. Although it is common to see variable annuity guarantees written on multiple funds, existing pricing methods are, by and large, based on stochastic processes for one single asset only. In this article, we fill this gap by developing a multivariate valuation framework. First, we consider a multivariate regime-switching model for modeling returns on various assets at the same time. We then identify a risk-neutral probability measure for use with the model under consideration. This is accomplished by a multivariate extension of the regime-switching conditional Esscher transform. We further extend our results to the situation when the guarantee being valued is linked to equity indexes measured in foreign currencies. In particular, we derive a probability measure that is risk-neutral from the perspective of domestic investors. Finally, we illustrate our results with a hypothetical variable annuity guarantee. ? 2011 Elsevier B.V.
着者Ng A.C.Y., Li J.S.H.
期刊名称Insurance: Mathematics and Economics
出版年份2011
月份11
日期1
卷号4http://aims.cuhk.edu.hk/converis/portal/Publication/9
期次3
出版社Elsevier BV
出版地Netherlands
页次3http://aims.cuhk.edu.hk/converis/portal/Publication/93 - 400
国际标準期刊号0167-6687
电子国际标準期刊号1873-5http://aims.cuhk.edu.hk/converis/portal/Publication/95http://aims.cuhk.edu.hk/converis/portal/Publication/9
语言英式英语
关键词Incomplete market, Minimum entropy, Quanto, Regime-switching
