Chow, Chui Ngan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 76-79). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Interest Rate Models --- p.6 / Chapter 2.1 --- Short Rate Models --- p.7 / Chapter 2.2 --- Heath-Jarrow-Morton Framework --- p.8 / Chapter 2.3 --- Bond Market Models (BMM) --- p.9 / Chapter 3 --- Mortality Models --- p.13 / Chapter 3.1 --- Deterministic Survival Functions --- p.13 / Chapter 3.2 --- Stochastic Mortality Models --- p.15 / Chapter 4 --- Guaranteed Annuity Options under BMM --- p.16 / Chapter 4.1 --- Model Settings --- p.17 / Chapter 4.1.1 --- Financial Variables --- p.17 / Chapter 4.1.2 --- Mortality --- p.19 / Chapter 4.2 --- Guaranteed annuity option --- p.21 / Chapter 4.3 --- Numerical results --- p.23 / Chapter 4.3.1 --- Simulation Study --- p.24 / Chapter 4.3.2 --- Empirical results --- p.29 / Chapter 5 --- Longevity Bond Market Models --- p.34 / Chapter 5.1 --- Model Settings --- p.35 / Chapter 5.1.1 --- Theoretical Settings --- p.35 / Chapter 5.1.2 --- Risk-free Bonds and Longevity Bonds --- p.36 / Chapter 5.2 --- Applications on Potential Mortality-Linked Products --- p.41 / Chapter 5.3 --- Numerical Results --- p.45 / Chapter 5.3.1 --- Simulation Settings --- p.46 / Chapter 5.3.2 --- Simulation Results --- p.49 / Chapter 6 --- Conclusion --- p.53 / Chapter A --- Equation Derivation --- p.56 / Chapter A.l --- Proof for Proposition (4.2.1) --- p.56 / Chapter A.2 --- Proof for Proposition (4.2.2) --- p.58 / Chapter A.3 --- Proof for Proposition (5.3.1) --- p.61 / Chapter A.4 --- Proof for Proposition (5.3.2) --- p.66 / Chapter B --- Results --- p.71 / Chapter B.l --- Valuation Results for GAO under BMM --- p.71 / Chapter B.1.1 --- Simulation Situations --- p.71 / Chapter B.1.2 --- Calibration Results --- p.72 / Chapter B.1.3 --- Valuation Results --- p.74
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_326305 |
| Date | January 2008 |
| Contributors | Chow, Chui Ngan., Chinese University of Hong Kong Graduate School. Division of Risk Management Science. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, vii, 79 leaves : ill. ; 30 cm. |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
Page generated in 0.0127 seconds