Melnikov, Alexander and Skornyakova, Victoria (2004) Pricing of Equity-Linked Life Insurance Contracts with Flexible Guarantees. Technical Report. Concordia University. Department of Mathematics & Statistics, Montreal, Quebec.
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Abstract
The paper deals with a particular class of equity-linked life insurance contracts called "pure endowment with guarantee". In our setting, these contracts are based on two risky assets in a two-factor jump-diffusion market. The first asset is responsible for the maximal size of future profits, while the second one provides a flexible guarantee to the insured. Quantile hedging methodology and Margrabe’s formula are exploited to price such contracts.
| Divisions: | Concordia University > Faculty of Arts and Science > Mathematics and Statistics |
|---|---|
| Item Type: | Monograph (Technical Report) |
| Authors: | Melnikov, Alexander and Skornyakova, Victoria |
| Series Name: | Department of Mathematics & Statistics. Technical Report No. 1/04 |
| Corporate Authors: | Concordia University. Department of Mathematics & Statistics |
| Institution: | Concordia University |
| Date: | May 2004 |
| Keywords: | Equity-linked life insurance, pure endowment, flexible guarantee,quantile hedging, jump-diffusion model |
| ID Code: | 6605 |
| Deposited By: | ANDREA MURRAY |
| Deposited On: | 03 Jun 2010 15:42 |
| Last Modified: | 08 Dec 2010 18:32 |
| References: | Aase, K. K., and S. A. Persson (1994): Pricing of unit-linked life insurance policies. Scand. Actuar. J. 1, 26-52.
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