Pricing an Outside Barrier Equity-Indexed Annuity with Flexible Monitoring Period

배리어 옵션이 내재된 지수연동형 보험상품의 가격결정

  • 신승희 (국민연금연구원) ;
  • 이항석 (성균관대학교 보험계리학과/수학과)
  • Published : 2009.03.30


Equity-indexed annuities(EIAs) provide their customers with the greater of either the return linked to the underlying index or the minimum guaranteed return. Insurance companies have developed EIAs to attract customers reluctant to buy traditional fixed annuities because of low returns and also reluctant to buy mutual funds for fear of the high volatility in the stock market. This paper proposes a new type of EIA embedded with an outside barrier option with flexible monitoring period in order to increase its participation rate. It also derives an explicit pricing formula for this proposed product, and discusses numerical examples to show relationships among participation rate, barrier level, index volatility and correlation.


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