논문KCI 등재
변액연금의 가치산정 및 리스크 분석
Variable Annuity Pricing and Risk Analysis
한국보험학회 (Korean Insurance Academic Society)|2009.12|보험학회지 (KOREAN JOURNAL OF INSURANCE)|제84호|pp. 105-138
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참고문헌
키워드
주제분류경영학
초록
이 논문은 변액연금 가치 평가 및 리스크 측정과 관련된 이슈를 다루고 있다. 여기서는 변액연금상품에 내재한 보장옵션을 설명하고 대표적인 보장옵션인 GMAB, GMDB 그리고 SO에 대하여 간편법과 몬테칼로 시뮬레이션법을 적용하여 가치 계산 및 리스크 측정 결과를 제시하고 있다.
Abstract
This essay is related to variable annuity pricing and latent risk measurement. It explains various embedded guarantee options of variable annuities and proposes the valuation and risk measurement results by simple approach and monte carlo simulation approach for three the representative guaranty options: GMAB, GMDB and SO.
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