Explicit portfolio for unit-linked life insurance contracts with surrender option

DOI10.1016/J.CAM.2008.04.031MaRDI QIDQ732095zbMATH OpenOpenAlexFDO

Authors Nele Vandaele, Michèle Vanmaele

Publication date 9 October 2009

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2008.04.031

zbMATH Keywords

risk-minimizationsurrender optionhedging strategyunit-linkedLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

Recommendations

• Endogenous model of surrender conditions in equity-linked life insurance
• The effect of policyholders' rationality on unit-linked life insurance contracts with surrender guarantees
• The valuation of unit-linked policies with or without surrender options
• On surrender and default risks
• A joint valuation of premium payment and surrender options in participating life insurance contracts

Cites work

• scientific article; zbMATH DE number 4085365 (Why is no real title available?)
• scientific article; zbMATH DE number 19572 (Why is no real title available?)
• A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market
• Credit risk: Modelling, valuation and hedging
• Hedging life insurance contracts in a Lévy process financial market
• Risk-minimizing hedging strategies for insurance payment processes

Cited in

(2)

• The valuation of unit-linked policies with or without surrender options
• Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts

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