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| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | 배형옥 | - |
| dc.contributor.author | 홍태희 | - |
| dc.date.issued | 2014-02 | - |
| dc.identifier.other | 16099 | - |
| dc.identifier.uri | https://dspace.ajou.ac.kr/handle/2018.oak/18347 | - |
| dc.description | 학위논문(석사)--아주대학교 일반대학원 :금융공학과,2014. 2 | - |
| dc.description.tableofcontents | Abstract Contents 1.Introduction 2.The model of participating policy 2.1 The asset side of the balance sheet 2.2 The liability side of the balance sheet 3.Numerical algorithm 3.1 Contract types 3.2 Valuation 3.2.1 Monte Carlo simulation 3.2.2 Finite difference method 3.3 Finite difference scheme with parallel computation 4.Numerical results 4.1 Cliquet option 4.2 Participating contract without mortality 4.2.1 The result of Monte Carlo simulation 4.2.2 The result of finite difference scheme 4.2.3 The result of finite difference scheme with parallel computation 4.3 Participating contract with mortality 5.Conclusion References | - |
| dc.language.iso | eng | - |
| dc.publisher | The Graduate School, Ajou University | - |
| dc.rights | 아주대학교 논문은 저작권에 의해 보호받습니다. | - |
| dc.title | 수치적 방법에 의한 이익배당부 생명보험계약의 가치평가 | - |
| dc.title.alternative | Hong Taehee | - |
| dc.type | Thesis | - |
| dc.contributor.affiliation | 아주대학교 일반대학원 | - |
| dc.contributor.alternativeName | Hong Taehee | - |
| dc.contributor.department | 일반대학원 금융공학과 | - |
| dc.date.awarded | 2014. 2 | - |
| dc.description.degree | Master | - |
| dc.identifier.url | http://dcoll.ajou.ac.kr:9080/dcollection/jsp/common/DcLoOrgPer.jsp?sItemId=000000016099 | - |
| dc.subject.keyword | 이익배당부 보험 | - |
| dc.subject.keyword | FDM | - |
| dc.subject.keyword | Monte Carlo | - |
| dc.subject.keyword | 병렬계산 | - |
| dc.description.alternativeAbstract | We apply a finite difference scheme to evaluate the premium of an insurance which have complicated participating payoff structure. The participating policy is an insurance contract such that the policy holder has right to be paid dividends. Since the rebate structure of the objective insurance is quite similar to an exotic option (Cliquet option) in the financial derivatives market, we apply theories and numerical schemes from option pricing problems to the premium pricing. For that, we solve a set of one dimensional Black-Scholes type partial differential equations where the size of the number of equations shrinks annually. We numerically validated our algorithm through several benchmark problems including complicated contract such as the participating policy with mortality. In this article, we suggest parallel computation techniques such as MPI(Message Passing Interface) for improving computational efficiency in our algorithm. | - |
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