Valuation of Equity-Linked Life Insurance Contracts Using a Model with Interacting Assets

DOI10.1080/07362990902844462MaRDI QIDQ3182407zbMATH OpenOpenAlexFDO

Authors Victoria Steblovskaya, Kai Wallbaum, S. Albeverio

Publication date 8 October 2009

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362990902844462

zbMATH Keywords

equity-linked (or unit-linked) life insurance contractsindex optionspath-dependent options

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05) Microeconomic theory (price theory and economic markets) (91B24)

Recommendations

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• scientific article; zbMATH DE number 5954101

Cites work

• A model of financial market with several interacting assets. Complete market case
• A Model with Interacting Assets Driven by Poisson Processes
• A NUMERICAL ANALYSIS OF THE EXTENDED BLACK–SCHOLES MODEL
• Equity-linked life insurance: A model with stochastic interest rates
• Pricing equity-linked life insurance with endogenous minimum guarantees
• Pricing equity-linked pure endowments with risky assets that follow Lévy processes
• Risk-minimizing hedging strategies for insurance payment processes
• Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts

Cited in

(16)

• Fixed income linked life insurance policies with minimum guarantees: Pricing models and numerical results
• Equity-linked life insurance: A model with stochastic interest rates
• Pricing of minimum guarantees in life insurance contracts with fuzzy volatility
• Asymptotic expansions for SDE's with small multiplicative noise
• Valuation of guaranteed unit linked contracts
• Valuation of finance/insurance contracts: efficient hedging and stochastic interest rates modeling
• scientific article; zbMATH DE number 5954101 (Why is no real title available?)
• On multi-period statistical risk management methods and equity-linked life insurance
• scientific article; zbMATH DE number 1069523 (Why is no real title available?)
• Valuation of Equity-Linked Insurance and Annuity Products with Binomial Models
• Valuing equity-linked death benefits on multiple life with time until death following a K_n distribution
• Equity-linked pension schemes with guarantees
• Valuation of mixed life insurance contracts under stochastic correlated mortality and interest rates
• Pricing equity-linked life insurance with endogenous minimum guarantees
• A measure to analyse the interaction of contracts in a heterogeneous life insurance portfolio
• Valuation of endowment-insurance equity-linked contracts for stocks with exotic dynamics

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