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Interest rate market models and their uses in insurance products.

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

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_326305
Date January 2008
ContributorsChow, Chui Ngan., 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, vii, 79 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/)

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