Valuing equity-linked death benefits on multiple life with time until death following a K_n distribution

DOI10.1155/2023/9984786zbMATH Open1541.91243MaRDI QIDQ6534962FDOQ6534962

Authors: Franck Adékambi, Essomanda Konzou 

Publication date: 13 October 2023

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Recommendations

• Valuing equity-linked death benefits in general exponential Lévy models
• Valuing equity-linked death benefits in jump diffusion models
• Valuing equity-linked death benefits in a regime-switching framework
• Valuing equity-linked death benefits and other contingent options: a discounted density approach
• Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model
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• Valuation of Equity-Linked Life Insurance Contracts Using a Model with Interacting Assets
• Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality
• Valuation of cliquet-style guarantees with death benefits
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Mathematics Subject Classification ID

Actuarial mathematics (91G05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Markov aging process and phase-type law of mortality
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• Properties and applications of the sarmanov family of bivariate distributions
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• Title not available (Why is that?)
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• Mathematical methods for financial markets.
• Valuing equity-linked death benefits in jump diffusion models
• Valuing equity-linked death benefits and other contingent options: a discounted density approach
• Valuing equity-linked death benefits in a regime-switching framework
• Geometric stopping of a random walk and its applications to valuing equity-linked death benefits
• Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality
• Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency
• Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model
• Valuing guaranteed equity-linked contracts by Laguerre series expansion
• Pricing some life-contingent lookback options under regime-switching Lévy models
• Bivariate Sarmanov phase-type distributions for joint lifetimes modeling
• Application of the phase-type mortality law to life contingencies and risk management
• Randomization and the valuation of guaranteed minimum death benefits

Cited In (3)

• Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model
• Valuing equity-linked death benefits with a threshold expense strategy
• Valuing equity-linked death benefits in jump diffusion models

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