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狀態轉換跳躍模型下權益指數年金之評價公式：股價指數之實證 = Valua...

國立高雄大學統計學研究所

狀態轉換跳躍模型下權益指數年金之評價公式：股價指數之實證 = Valuation of Equity-Indexed Annuities under Regime-Switching Jump Model:Evidence from Stock Indices

紀錄類型:	書目-語言資料,印刷品 : 單行本
並列題名:	Valuation of Equity-Indexed Annuities under Regime-Switching Jump Model:Evidence from Stock Indices
作者:	林晉煜,
其他團體作者:	國立高雄大學
出版地:	[高雄市]
出版者:	撰者;
出版年:	民99[2010]
面頁冊數:	111面圖，表 : 30公分;
標題:	權益指數年金
標題:	equity-indexed annuity
電子資源:	http://handle.ncl.edu.tw/11296/ndltd/99393849641739893218
摘要註:	Charles, Fuh, and Lin (2010)提出馬可夫跳躍擴散模型，使用道瓊指數之30個成分股，驗證馬可夫跳躍擴散模型能夠描述不對稱高狹峰、波動度微笑、和波動度叢聚等現象，並經由檢定證實，馬可夫跳躍擴散模型比跳躍擴散模型更適用於30個成分股。若馬可夫跳躍擴散模型中只具有兩個狀態，則稱為狀態轉換跳躍模型，本文使用31檔國際指數1999年至2008年的資料為研究樣本，利用Expectation-Maximization演算法估計跳躍擴散模型與狀態轉換跳躍模型之參數並使用Supplemented EM演算法計算估計參數之共變異數矩陣；並使用估計之參數求得狀態轉換跳躍模型下之偏態與峰態，符合不對稱高狹峰之特性；進一步驗證狀態轉換跳躍模型波動聚集和波動度微笑的性質，因此狀態轉換跳躍模型亦適用於描述股價指數。本文使用狀態轉換跳躍模型來描述股價指數的變動情形，評價利率計算機制為簡單點對點和每年重設法的權益指數年金保單。最後，根據推導之評價公式做敏感度分析。 Charles, Fuh, and Lin (2010) proposed a Markov-switching jump diffusion model (MSJDM) to improve the empirical performance. The model can capture not only the leptokurtic feature and volatility smile but also the economically important volatility clustering phenomenon using data on the Dow Jones component stocks. The result of the test shows that all 30 components fit the MSJDM better than the jump diffusion model (JDM). The model is called the regime-switching jump model (RSJM) particularly if there are two states in the Markov chain. In this paper, according to 31 stock indices around the world from 1999 to 2008, the parameters and these variance of the JDM the RSJM are estimated with the expectation-maximization (EM) algorithm and the supplemented EM (SEM) algorithm. Moreover, all of 31 stock indices fit the MSJDM better than the JDM by the test. The empirical results indicate that the RSJM can also capture the leptokurtic, volatility clustering, and volatility smile features. Therefore, the RSJM is a good fit even for the indices. In this paper, we derive the value of the equity-indexed annuity contract under the RSJM and give a sensitivity analysis through the valuation formulas.

狀態轉換跳躍模型下權益指數年金之評價公式：股價指數之實證 = Valuation of Equity-Indexed Annuities under Regime-Switching Jump Model:Evidence from Stock Indices
林, 晉煜

狀態轉換跳躍模型下權益指數年金之評價公式：股價指數之實證 = Valuation of Equity-Indexed Annuities under Regime-Switching Jump Model:Evidence from Stock Indices / 林晉煜撰 - [高雄市] : 撰者, 民99[2010]. - 111面 ; 圖，表 ; 30公分.
參考書目：面.
權益指數年金equity-indexed annuity

狀態轉換跳躍模型下權益指數年金之評價公式：股價指數之實證 = Valuation of Equity-Indexed Annuities under Regime-Switching Jump Model:Evidence from Stock Indices
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