Valuation of endowment-insurance equity-linked contracts for stocks with exotic dynamics (Q904606): Difference between revisions
From MaRDI portal
Latest revision as of 08:26, 11 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuation of endowment-insurance equity-linked contracts for stocks with exotic dynamics |
scientific article |
Statements
Valuation of endowment-insurance equity-linked contracts for stocks with exotic dynamics (English)
0 references
13 January 2016
0 references
Summary: We consider the fair martingale prize of insurance contracts with benefit received either at the insurer's demise or at maturity. We show how to modify the dynamics of the underlying so as to incorporate the possibility that the traded stock has a strong support at some level. The resulting dynamics is integrated and the fair prize of several natural endowment-insurance contracts is obtained.
0 references
0 references
