การกำหนดราคาสำหรับตราสารสิทธิเงินรายปีรับรองภายใต้การมรณะของประชากรไทย
This research is presented the pricing of guaranteed annuity options under estimation of mortality rates by forward mortality factor models and estimation of interest rates by Vasicek models. Data sets used in this research are as follows: i) the number of population classified by age and gender bet...
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| Format: | Theses and Dissertations |
| Language: | Thai |
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จุฬาลงกรณ์มหาวิทยาลัย
2014
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| Online Access: | https://digiverse.chula.ac.th/Info/item/dc:28151 |
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| Institution: | Chulalongkorn University |
| Language: | Thai |
| Summary: | This research is presented the pricing of guaranteed annuity options under estimation of mortality rates by forward mortality factor models and estimation of interest rates by Vasicek models. Data sets used in this research are as follows: i) the number of population classified by age and gender between year 1972 - 2010 from the Ministry of Interior, ii) the number of death by age and gender between year 1972 - 2010 from the Ministry of Public Health, and iii) the government bonds prices during year 2001 - 2014 with remain of 1 year 2 year and 1 year increments until 30 years from Thai Bond Market Association. The results show that the survival probability of annuitant is much higher when living to the maturity date. The price of zero-coupon bonds in short term is lower than those in long term. Then the prices of guaranteed annuity options and their value have decreased as the insured approaches to retirement age. |
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