Pricing equity-linked life insurance with endogenous minimum guarantees

DOI10.1016/0167-6687(93)90236-IzbMath0778.62093MaRDI QIDQ689564

Publication date: 9 January 1994

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

numerical results equity-linked policies endogenous minimum guarantees endowment policies periodic premium portfolio of equities pricing insurance contracts single premium

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (39)

Valuation of Equity-Linked Life Insurance Contracts Using a Model with Interacting Assets ⋮ Equity-linked life insurance: A model with stochastic interest rates ⋮ Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts ⋮ A bivariate model for evaluating equity-linked policies with surrender option ⋮ Better late than never: The case of the rollover option ⋮ Reserving for maturity guarantees: Two approaches ⋮ Pricing of Unit-linked Life Insurance Policies ⋮ How sensitive is the pricing of lookback and interest rate guarantees when changing the modelling assumptions? ⋮ Two-phase selection of representative contracts for valuation of large variable annuity portfolios ⋮ Valuation of endowment-insurance equity-linked contracts for stocks with exotic dynamics ⋮ EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS ⋮ Valuation of segregated funds: shout options with maturity extensions. ⋮ Thiele's differential equation with stochastic interest of diffusion type ⋮ Equity-linked pension schemes with guarantees ⋮ Minimum return guarantees with fund switching rights -- an optimal stopping problem ⋮ Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model ⋮ On the optimal design of insurance contracts with guarantees ⋮ Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies ⋮ Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies ⋮ A general model for the analysis and valuation of guaranteed minimum benefits in fonds policies ⋮ Equity-Indexed Life Insurance: Pricing and Reserving Using the Principle of Equivalent Utility ⋮ Hedging and Reserving for Single-Premium Segregated Fund Contracts ⋮ Pricing rate of return guarantees in regular premium unit linked insurance ⋮ Hedging guarantees in variable annuities under both equity and interest rate risks ⋮ A no arbitrage approach to Thiele's differential equation ⋮ Analytical valuation of periodical premiums for equity-linked policies with minimum guarantee ⋮ 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 ⋮ Quantile hedging for equity-linked contracts ⋮ Affine stochastic mortality ⋮ Quantile hedging on equity-linked life insurance contracts with transaction costs ⋮ On accounting standards and fair valuation of life insurance and pension liabilities ⋮ Pricing guaranteed minimum death benefit contracts under the phase-type law of mortality ⋮ Bayesian Risk Management for Equity-Linked Insurance ⋮ Double barrier hitting time distributions with applications to exotic options ⋮ Fixed income linked life insurance policies with minimum guarantees: Pricing models and numerical results ⋮ Optimal hedging and pricing of equity-linked life insurance contracts in a discrete-time incomplete market ⋮ Endogenous model of surrender conditions in equity-linked life insurance

Cites Work

This page was built for publication: Pricing equity-linked life insurance with endogenous minimum guarantees