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.
- Published Version
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|
|Keywords:||Equity-linked life insurance, pure endowment, flexible guarantee,quantile hedging, jump-diffusion model|
|Deposited By:||ANDREA MURRAY|
|Deposited On:||03 Jun 2010 19:42|
|Last Modified:||08 Dec 2010 23:32|
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