Probabilistic valuation of certain unit-linked contracts

MaRDI QIDQ3635429zbMATH OpenFDO

Authors Javier Villarroel

Publication date 6 July 2009

Full work available at URL https://eudml.org/doc/42933

zbMATH Keywords

martingale probabilityrisk-neutral fair-priceunit-linked insurance contracts

Mathematics Subject Classification ID

Recommendations

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Cited in

(5)

• Time-risk discount valuation of life contacts
• Further discussion of some new unit-link policies
• Valuation of guaranteed unit linked contracts
• Valuation of endowment-insurance equity-linked contracts for stocks with exotic dynamics
• Tractable valuations under uncertainty

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