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跳躍風險下狀態轉換模型可解約參與型保單遞迴評價式：股價指數之實證 = A...

周家伃

跳躍風險下狀態轉換模型可解約參與型保單遞迴評價式：股價指數之實證 = A Recursive Formula of a Participating Contract Embedding a Surrender Option under Regime-Switching Model with Jump Risks: Evidence from Stock Indices

Record Type:	Language materials, printed : monographic
Paralel Title:	A Recursive Formula of a Participating Contract Embedding a Surrender Option under Regime-Switching Model with Jump Risks: Evidence from Stock Indices
Author:	周家伃,
Secondary Intellectual Responsibility:	國立高雄大學
Place of Publication:	[高雄市]
Published:	撰者;
Year of Publication:	民99[2010]
Description:	115面圖，表 : 30公分;
Subject:	Expectation-maximization演算法
Subject:	Expectation-maximization algorithm; participatin
Online resource:	http://handle.ncl.edu.tw/11296/ndltd/40352138991378023992
Summary:	Hamilton(1989)提出狀態轉換模型，說明受到景氣擴張與衰退之影響，股價有不同之平均成長與波動。然而，當重大訊息來臨時股價指數有跳躍現象，因此引入跳躍風險下狀態轉換模型，以達到更精確描述報酬率之變動過程。在實證部份，本文以期間1999至2008年之31檔股票指數為研究樣本，說明股價指數有狀態轉換及跳躍現象，利用Expectation-Maximization (EM)演算法估計模型之參數，以Supplemented Expectation-Maximization (SEM)演算法計算估計參數之標準差，使用LR檢定結果有29檔指數，適合使用跳躍風險下狀態轉換模型描述股價指數。並在狀態轉換模型與具跳躍風險之狀態轉換模型下，驗證報酬率之厚尾現象、波動度微笑與波動聚集之現象。因此，本文在狀態轉換模型與具跳躍風險之狀態轉換模型下，發展可解約參與型保單之遞迴評價公式。最後，本文討論可解約參與型保單之敏感度分析。 Hamilton (1989) proposed the regime-switching model to explain the different behaviors of mean and volatility for returns at different states of business cycle. However, the stock price has abnormal vibrations when the unanticipated information released via the stock indices and therefore leads into the regime-switching model with jump risks. According to empirical analysis in this paper, we find that 29 stock indices suitable for the regime-switching model with jump risks via LR test in the sample observations with 31 stock indices of the study period from 1999 to 2008 by expectation-maximization (EM) algorithm and supplemented expectation-maximization (SEM) algorithm. Also, both of the regime-switching model and the regime-switching model with jump risks can address the leptokurtic feature of the asset return distribution, volatility smile, and the effects of the volatility clustering phenomenon. Therefore, we develop the recursive formula to price a participating contract embedding a surrender option under business cycle and business cycle with jump risks. Finally, we give some sensitivity analysis for the participating contract embedding a surrender option.

跳躍風險下狀態轉換模型可解約參與型保單遞迴評價式：股價指數之實證 = A Recursive Formula of a Participating Contract Embedding a Surrender Option under Regime-Switching Model with Jump Risks: Evidence from Stock Indices
周, 家伃

跳躍風險下狀態轉換模型可解約參與型保單遞迴評價式：股價指數之實證 = A Recursive Formula of a Participating Contract Embedding a Surrender Option under Regime-Switching Model with Jump Risks: Evidence from Stock Indices / 周家伃撰 - [高雄市] : 撰者, 民99[2010]. - 115面 ; 圖，表 ; 30公分.
參考書目：面.
Expectation-maximization演算法Expectation-maximization algorithm; participatin

跳躍風險下狀態轉換模型可解約參與型保單遞迴評價式：股價指數之實證 = A Recursive Formula of a Participating Contract Embedding a Surrender Option under Regime-Switching Model with Jump Risks: Evidence from Stock Indices
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330 $a Hamilton(1989)提出狀態轉換模型，說明受到景氣擴張與衰退之影響，股價有不同之平均成長與波動。然而，當重大訊息來臨時股價指數有跳躍現象，因此引入跳躍風險下狀態轉換模型，以達到更精確描述報酬率之變動過程。在實證部份，本文以期間1999至2008年之31檔股票指數為研究樣本，說明股價指數有狀態轉換及跳躍現象，利用Expectation-Maximization (EM)演算法估計模型之參數，以Supplemented Expectation-Maximization (SEM)演算法計算估計參數之標準差，使用LR檢定結果有29檔指數，適合使用跳躍風險下狀態轉換模型描述股價指數。並在狀態轉換模型與具跳躍風險之狀態轉換模型下，驗證報酬率之厚尾現象、波動度微笑與波動聚集之現象。因此，本文在狀態轉換模型與具跳躍風險之狀態轉換模型下，發展可解約參與型保單之遞迴評價公式。最後，本文討論可解約參與型保單之敏感度分析。 Hamilton (1989) proposed the regime-switching model to explain the different behaviors of mean and volatility for returns at different states of business cycle. However, the stock price has abnormal vibrations when the unanticipated information released via the stock indices and therefore leads into the regime-switching model with jump risks. According to empirical analysis in this paper, we find that 29 stock indices suitable for the regime-switching model with jump risks via LR test in the sample observations with 31 stock indices of the study period from 1999 to 2008 by expectation-maximization (EM) algorithm and supplemented expectation-maximization (SEM) algorithm. Also, both of the regime-switching model and the regime-switching model with jump risks can address the leptokurtic feature of the asset return distribution, volatility smile, and the effects of the volatility clustering phenomenon. Therefore, we develop the recursive formula to price a participating contract embedding a surrender option under business cycle and business cycle with jump risks. Finally, we give some sensitivity analysis for the participating contract embedding a surrender option.
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