Equity-Indexed Life Insurance: Pricing and Reserving Using the Principle of Equivalent Utility

DOI10.1080/10920277.2003.10596078zbMath1084.91521OpenAlexW2296466411MaRDI QIDQ5715905

Virginia R. Young

Publication date: 5 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2003.10596078

Mathematics Subject Classification ID

Related Items (24)

Optimal dividend and reinsurance in the presence of two reinsurers ⋮ Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps ⋮ Pricing equity-linked pure endowments with risky assets that follow Lévy processes ⋮ Indifference pricing of a life insurance portfolio with risky asset driven by a shot-noise process ⋮ Equity-linked life insurance based on traditional products: the case of select products ⋮ Intergenerational sharing of unhedgeable inflation risk ⋮ EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS ⋮ Optimal dividend problem with a nonlinear regular-singular stochastic control ⋮ Pricing equity-linked pure endowments via the principle of equivalent utility. ⋮ Indifference Pricing of a GLWB Option in Variable Annuities ⋮ Correlated intensity, counter party risks, and dependent mortalities ⋮ Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates ⋮ Optimal Design of a Perpetual Equity-Indexed Annuity ⋮ Application of data clustering and machine learning in variable annuity valuation ⋮ PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE ⋮ Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences ⋮ A model-point approach to indifference pricing of life insurance portfolios with dependent lives ⋮ Optimal surrender strategies for equity-indexed annuity investors ⋮ Unhedgeable inflation risk within pension schemes ⋮ A Markov Process Modeling and Analysis of Indifference Pricing of Insurance Contracts for Home Reversion Plan for a Pair of Insureds ⋮ Bond indifference prices ⋮ Principle of equivalent utility and universal variable life insurance pricing ⋮ Relative Hedging of Systematic Mortality Risk ⋮ Pricing Weather Derivatives Using the Indifference Pricing Approach

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