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

DOI10.1016/J.CAM.2008.04.031zbMATH Open1179.91111OpenAlexW2083063260MaRDI QIDQ732095FDOQ732095

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

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
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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)

Cites Work

• Hedging life insurance contracts in a Lévy process financial market
• Title not available (Why is that?)
• Risk-minimizing hedging strategies for insurance payment processes
• Credit risk: Modelling, valuation and hedging
• A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market
• Title not available (Why is that?)

Cited In (2)

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

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