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Pricing of Equity-Linked Life Insurance Contracts with Flexible Guarantees

Title:

Pricing of Equity-Linked Life Insurance Contracts with Flexible Guarantees

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
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