지수분포조합(a Combination of Exponentials)을 이용한 최저사망 보증옵션의 가치평가On the Valuation of GMDB Options Using a Combination of Exponentials
- Other Titles
- On the Valuation of GMDB Options Using a Combination of Exponentials
- Authors
- 배태한; Tran Thi Thanh Huong; 고방원
- Issue Date
- Sep-2015
- Publisher
- 한국리스크관리학회
- Keywords
- 지수분포조합; Black-Scholes 옵션가격; 최저사망보증옵션; 해지; 룩백옵션; 변액연금; Combinations of exponentials; Black-Scholes option price; GMDB option; Lapse; Lookback Option; Variable annuity
- Citation
- 리스크관리연구, v.26, no.3, pp.71 - 99
- Journal Title
- 리스크관리연구
- Volume
- 26
- Number
- 3
- Start Page
- 71
- End Page
- 99
- URI
- http://scholarworks.bwise.kr/ssu/handle/2018.sw.ssu/9195
- DOI
- 10.21480/tjrm.26.3.201509.003
- ISSN
- 1229-103X
- Abstract
- This paper explores the applicability of a combination of exponentials to the valuation of guaranteed minimum death benefits (GMDBs) embedded in variable annuities. As is well known, the class of combinations of exponentials forms a weakly dense subset among the distributions of all nonnegative random variables. Moreover, explicit pricing formulas for various GMDBs are available under a simplified exponential mortality model. Motivated by these two facts, we first approximate the future lifetime distributions by using a combination of exponentials and then approximate GMDB option prices. Comparing with the numerical integration under the Makeham law of mortality, our numerical result shows that the approximation can be quite useful.
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