Fixed income linked life insurance policies with minimum guarantees: Pricing models and numerical results

DOI10.1016/0377-2217(95)00281-2zbMath0924.90050OpenAlexW2001650948MaRDI QIDQ1278206

Anna Rita Bacinello, Fulvio Ortu

Publication date: 22 February 1999

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0377-2217(95)00281-2

zbMATH Keywords

interest-rate sensitive instrumentsminimum guaranteesunit-linked policy

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (3)

Fourier based methods for the management of complex life insurance products ⋮ Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral \(\chi^{2}\) random variable ⋮ Variable annuities in a Lévy-based hybrid model with surrender risk

Cites Work

• Term structure of interest rates: The martingale approach
• Pricing equity-linked life insurance with endogenous minimum guarantees
• Two singular diffusion problems
• A Theory of the Term Structure of Interest Rates
• An equilibrium characterization of the term structure

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