Contingent Portfolio Insurance for Variable Annuity with Guarantee
Date Issued
2009
Date
2009
Author(s)
Wang, Chuan-Ching
Abstract
AbstractA with guarantee is tailor made for people who plan their future retirement life under nowadays’ financial environment and state of aging society. For investor, the insurance company provide the minimum retirement guarantees and opportunity to profit in bull market. In the other hand, this product has whole new challenge toward the insurance company. It is because the risk、characteristic of this product is totally different from the past product. Therefore, how to construct strategy of asset allocation is the main key. The characteristic of VA with guarantee is to have the chance to share the bull market. At the same time, because of the with-guarantee, the insurance company should control the downside risk carefully. Otherwise, the insurance company will face numerous amount loss. Because of with-guarantee, the insurance company will charge guarantee expense at the start of a month in case of numerous amount loss in the future. The hedge cost has great relationship with the portfolio return, so this study quote portfolio insurance、filter rule、dynamic m multiplier and try to analyze、compare every different strategy from the point of view of hedge cost、final account value、default probability. At the end of this study, we also do the scenario analysis by the different setting of parameter.ompared with traditional portfolio insurance, the portfolio insurance with dynamic m multiplier do great low the hedge cost and enhance final account value. And the portfolio insurance with filter rule, with the rise of filter rate, the hedge cost and the final account value both fall. As a whole, the performance of contingent portfolio insurance is better than the traditional portfolio insurance. ey words: portfolio insurance、filter rule、hedge cost、final account value、dynamic m multiplier
Subjects
portfolio insurance
filter rule
hedge cost
final account value
dynamic m multiplier
Type
thesis
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ntu-98-R96723070-1.pdf
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