Pricing of long dated equity-linked life insurance contracts

DOI10.1080/07362994.2015.1136563MaRDI QIDQ2804516zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• A Discrete Time Benchmark Approach for Insurance and Finance
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• A YIELD‐FACTOR MODEL OF INTEREST RATES
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• A two-factor model for low interest rate regimes
• Affine processes for dynamic mortality and actuarial valuations
• An equilibrium characterization of the term structure
• Arbitrage in continuous complete markets
• Design and Estimation of Quadratic Term Structure Models *
• EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS
• Equity-linked life insurance: A model with stochastic interest rates
• Modeling and forecasting U.S. mortality. (With discussion)
• Mortality derivatives and the option to annuitise.
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES
• Residual life time at great age
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• The fair value of guaranteed annuity options
• The numeraire portfolio for unbounded semimartingale
• Time-inhomogeneous affine processes
• Valuation of contingent claims with mortality and interest rate risks

Cited in

(7)

• 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
• Pricing equity-linked life insurance contracts with multiple risk factors by neural networks
• scientific article; zbMATH DE number 1795853 (Why is no real title available?)
• Pricing equity-linked pure endowments with risky assets that follow Lévy processes

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