Đang chuẩn bị liên kết để tải về tài liệu:
Investment Guarantees phần 8

. Một lần nữa, chúng tôi sử dụng là một trong các phương trình tích tụ, một năm có nghĩa là E [S12] điểm kinh nghiệm đăng nhập cá nhân hàng tháng, trả lại được phân phối AR (1) với các lỗi thông thường, các yếu tố tích lũy đăng nhập cũng được phát hành bình thường | Capital Requirements Actuarial Risk Management 181 reasonable approach and with the techniques of the last few chapters is perfectly feasible. For the example in Chapter 9 a GMAB contract with a 10-year initial term and one potential rollover and with guarantee 100 percent of the premium or fund after rollover managed without dynamic hedging the 95 percent CTE capital requirement is 8.60 of the premium. However that figure only applies to the contract at issue. At every subsequent revaluation the requirement will be different depending on the relationship between the market value of the fund and the guarantee level and the remaining term. The relationship between the fund market value and the guarantee is summarized in the ratio of the fund value to the guarantee amount denoted F G. In Table 10.1 95 percent CTE values are given for a 10-year initial term GMAB with mortality and survival benefits with a single rollover option at the tenth policy anniversary. The contract details are the same as the section on risk measures for GMAB liability in Chapter 9. Each TABLE 10.1 Ninety-five percent CTE for 20-Year GMAB contract maturing at age 70. Figures given as percentage of fund value. Term to Maturity Fund Value Guarantee 0.7 0.8 1.0 1.2 1.4 1.6 1.8 2.0 20 19.14 14.69 8.60 4.99 3.01 1.92 1.32 0.99 19 22.21 17.11 10.11 5.95 3.69 2.52 1.93 1.59 18 26.03 20.17 12.12 7.37 4.88 3.62 2.97 2.61 17 30.42 23.70 14.44 8.81 5.72 4.12 3.30 2.83 16 36.01 28.30 17.59 10.92 7.20 5.29 4.26 3.74 15 40.62 31.75 19.42 11.94 7.97 6.02 5.11 4.68 14 47.28 37.19 22.95 14.05 9.14 6.71 5.59 5.05 13 52.69 41.11 24.75 14.59 9.55 7.36 6.50 6.16 12 57.92 44.45 25.67 14.25 9.23 7.53 6.95 6.80 11 62.44 46.92 25.33 13.31 9.32 8.16 7.82 7.73 Rollover 10 20.06 15.37 8.92 4.82 2.05 0.39 -0.52 -1.01 9 23.57 18.22 10.85 6.17 2.96 0.96 -0.15 -0.79 8 27.39 21.29 12.87 7.48 3.76 1.40 0.10 -0.62 7 31.43 24.47 14.85 8.66 4.37 1.63 0.19 0.55 6 36.21 28.27 17.28 10.20 5.26 2.08 0.47 -0.40 5 42.01 32.93 20.34 .