Evaluation of equity-linked products in the presence of policyholder surrender option using risk-control strategies

IF 1.5 Q3 BUSINESS, FINANCE
Patrice Gaillardetz, S. Hachem, Mehran Moghtadai
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引用次数: 1

Abstract

Abstract Throughout the past couple of decades, the surge in the sale of equity-linked products has led to many discussions on the evaluation and risk management of surrender options embedded in these products. However, most studies treat such options as American/Bermudian style options. In this article, a different approach is presented where only a portion of the policyholders react optimally due to the belief that not all policyholders are rational. Through this method, a probability of surrender is obtained based on the option moneyness and the product is partially hedged using local risk-control strategies. This partial hedging approach is versatile since few assumptions are required for the financial framework. To compare the different surrender assumptions, the initial capital requirement for an equity-linked product is obtained under a regime-switching equity model. Numerical examples illustrate the dynamics and efficiency of this hedging approach.
使用风险控制策略评估存在保单持有人放弃期权的股票挂钩产品
摘要在过去的几十年里,股票挂钩产品的销售激增,引发了许多关于这些产品中放弃期权的评估和风险管理的讨论。然而,大多数研究将这种选择视为美国/百慕大式的选择。在本文中,提出了一种不同的方法,即只有一部分投保人做出最佳反应,因为他们相信并非所有投保人都是理性的。通过这种方法,基于期权的货币性获得了放弃的概率,并使用局部风险控制策略对产品进行了部分对冲。这种部分套期保值方法是通用的,因为财务框架几乎不需要假设。为了比较不同的放弃假设,在制度转换股权模型下获得了股权挂钩产品的初始资本要求。数值例子说明了这种套期保值方法的动态性和效率。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
3.10
自引率
5.90%
发文量
22
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