지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2011.1
- 수록면
- 155 - 179 (25page)
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In the wake of the recent financial crisis, the importance of effective and robust risk management strategies for variable annuities (VA) is once more emphasized and life insurance companies are seeking new product innovations which incorporate those strategies. As a consequence, a number of new VA product innovations beneficial for both customers and life insurers have been proposed. The product innovations mainly fall into two categories: one is on the benefit level and the other is on the fund level. In this paper, we introduce one of the risk management strategies embedded in VA funds, called a volatility targeting strategy, demonstrate the performance of the target-volatility fund, and study the impact of the strategy on the hedge cost and reserve amount of a GLWB/DB product.
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참고문헌 (7)
참고문헌 신청
Bollerslev,T / 1990 / Modelling the coherence in short-run nomialexchange rates: A multivariate generalized ARCH model / Reviewof Econometrics and Statistics 72 : 498 ~ 505
Cox, J. C. / 1985 / A Theory of theTerm Structure of Interest Rates / Econometrica 53 : 385 ~ 407
Engle,R.F / 1982 / Autoregressive conditional heteroskedasticity withestimates of the variance of the United Kingdom inflation / Econometrica 50 : 987 ~ 1007
Heath, D. / 1992 / Easier donethan said / Risk 5 : 77 ~ 80
Heston,S.L / 1993 / A Closed-Form Solution for Options withStochastic Volatility with Applications to Bond and CurrencyOptions / The Review of Financial Studies 6 (2) : 327 ~
Cox, J. C. / 1985 / A Theory of theTerm Structure of Interest Rates / Econometrica 53 : 385 ~ 407
Engle,R.F / 1982 / Autoregressive conditional heteroskedasticity withestimates of the variance of the United Kingdom inflation / Econometrica 50 : 987 ~ 1007
Heath, D. / 1992 / Easier donethan said / Risk 5 : 77 ~ 80
Heston,S.L / 1993 / A Closed-Form Solution for Options withStochastic Volatility with Applications to Bond and CurrencyOptions / The Review of Financial Studies 6 (2) : 327 ~
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