臺灣博碩士論文加值系統

獲利保障型指數連動年金 (Equity-Indexed Annuities；EIA)商品是由Keyport Life於1995年2月首度發行，發行當年即產生大量的交易，並且造成市場熱烈迴響。EIA商品的報酬率由連結的標的資產報酬率所決定，因此投資人在享有最低獲利保證的同時，也能參與資本市場的潛在高報酬。EIA商品最常見的連結標的資產為美國Standard and Poor’s (S&P) 500指數。
本研究以賣方的角度對EIA商品的定價方式與避險策略進行討論。EIA商品的報酬型態類似選擇權之買權契約，惟其期間介於5到15年不等，因此保險公司無法從市場上直接購買對應的避險標的對EIA商品進行避險。職是之故，尋找有效的避險策略來規避EIA商品的風險對保險公司而言至關重要。本文利用財務工程中選擇權定價及動態避險的觀念，來探討不同型態EIA商品之價格決定及動態避險之效果。

The first Equity-Indexed Annuities (EIAs) was issued by Keyport Life in February 1995, it brought the interest and excitement of the market. The return of EIA contract is dependent on the performance of a linked-index, which is mostly based on the American Standard and Poor's (S&P) 500 index.
This thesis explores the pricing and hedging issues from the insurers’ perspective. The payoff of an EIA contract can be expressed in the form of a call option but with much longer contract period ranging from 5 to 15 years, thus it is difficult for insures to find hedging instruments directly from the market. The insurers face substantial risks and finding an effective hedging strategy is very important. The aim of this thesis is to provide pricing formula for various types of EIA contract design and examine the effect of dynamic hedging.

第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 4
第二章 獲利保障型指數連動年金之介紹與文獻回顧 5
第一節 獲利保障型指數連動年金 (EIA)之介紹 5
第二節 文獻回顧 8
第三章 評價模型 11
第一節 連結標的資產之動態模型 11
第二節 EIA商品設計 13
一、簡單點對點 (Point-To-Point；PTP)商品設計 13
二、高水位 (High-Water-Mark；HWM)商品設計 15
三、鎖高型 (Ratchet)商品設計 15
四、各種EIA商品評價之範例 17
第三節 動態避險與避險誤差 19
第四章 數值分析 21
第一節 模型假設 21
第二節 數值結果 22
一、定價結果 22
二、避險結果 24
第五章 結論與延伸 28
參考文獻 29
附錄一、PTP商品評價公式推導 31
附錄二、CR商品評價公式推導(不考慮報酬率上限值的情況下) 33
附錄三、PTP商品避險參數Delta推導(未支付股利情況下) 34

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