Pricing of long dated equity-linked life insurance contracts

DOI10.1080/07362994.2015.1136563zbMATH Open1344.60064OpenAlexW2276491822MaRDI QIDQ2804516FDOQ2804516

Authors: Leunglung Chan, Eckhard Platen 

Publication date: 29 April 2016

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2015.1136563

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zbMATH Keywords

stochastic differential equationsmortality ratecall optionsquared Bessel processgrowth optimal portfolioquadratic term structurezero coupon bondlife insurance contracts

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Cites Work

• Modeling and Forecasting U.S. Mortality
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• Arbitrage in continuous complete markets
• The numeraire portfolio for unbounded semimartingale
• Equity-linked life insurance: A model with stochastic interest rates
• QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES
• A Discrete Time Benchmark Approach for Insurance and Finance
• A FILTERING APPROACH TO PRICING IN MULTIFACTOR TERM STRUCTURE MODELS
• A two-factor model for low interest rate regimes

Cited In (6)

• Equity-linked life insurance: A model with stochastic interest rates
• Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
• Pricing equity-linked pure endowments via the principle of equivalent utility.
• A comparative study of pricing approaches for longevity instruments
• Title not available (Why is that?)
• Pricing equity-linked pure endowments with risky assets that follow Lévy processes

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