Return to search

An efficient valuation of participating life insurance contracts under Lévy process.

Wong, Shiu Fung. / "July 2010." / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (leaves 36-38). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Participating policy --- p.4 / Chapter 3 --- Levy Process and its use in financial modelling --- p.8 / Chapter 3.1 --- Levy process in asset modelling --- p.8 / Chapter 3.2 --- Levy process in derivative pricing --- p.11 / Chapter 3.2.1 --- Review of FFT methods in option pricing --- p.12 / Chapter 3.2.2 --- Expectation using FFT --- p.13 / Chapter 4 --- Network methodology --- p.17 / Chapter 4.1 --- Asset dynamic: Network Approach --- p.17 / Chapter 4.1.1 --- Transition probability by FFT --- p.18 / Chapter 4.1.2 --- Example in American option pricing --- p.19 / Chapter 4.2 --- Extended Network for Participating Contract --- p.20 / Chapter 4.3 --- Practical network construction --- p.22 / Chapter 4.3.1 --- Modified network-drift offsetting --- p.23 / Chapter 4.3.2 --- Logarithmic scale network --- p.25 / Chapter 4.4 --- Incorporating surrender rights and mortality --- p.26 / Chapter 4.4.1 --- Surrender right --- p.26 / Chapter 4.4.2 --- Mortality --- p.27 / Chapter 4.5 --- Proof of convergence --- p.28 / Chapter 5 --- Numerical Results --- p.32 / Chapter 5.1 --- The Black and Scholes model --- p.33 / Chapter 5.2 --- The Merton's Jump diffusion model --- p.33 / Chapter 5.3 --- Variance gamma model --- p.34 / Chapter 6 --- Conclusion --- p.35 / Bibliography --- p.36

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_327190
Date January 2010
ContributorsWong, Shiu Fung., Chinese University of Hong Kong Graduate School. Division of Risk Management Science.
Source SetsThe Chinese University of Hong Kong
LanguageEnglish, Chinese
Detected LanguageEnglish
TypeText, bibliography
Formatprint, x, 38 leaves : ill. ; 30 cm.
RightsUse 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 0.002 seconds